OMG I love the Omen. Spooky pic. Very interesting question. I'll have to think about this. I'm sure living in NYC I've visited many.
I visited the Datoka apartment buildings where the movie "Rosemary's Baby" was filmed. I actually went there after taking a friend from out of town to see John Lennon's nearby Strawberry Fields tribute in Central Park:
I've been inside The Plaza Hotel where portions of "Home Alone 2: Lost in New York" were filmed:
And I've been around this Bridge at "The Pond" in Central Park where Kevin meets the Pigeon lady in "Home Alone 2: Lost in New York":
I used to take my nephews/niece to FAO Schwarz toy store when they were young every November and who could forget the famous floor keyboard scene there from "Big"?...
Visits to and images from my former office window of the Empire State Building often make me think of "King King":
I've had many lunch time strolls past the New York Public Library and at the beginning of "Ghost Busters" it's haunted:
I work in the Meatpacking District of NYC and many movies/TV shows are filmed there including "Sex and The City" where Carrie is shown inside the Diane Von Furstenburg boutique (I've never bothered going in - can't afford it):
That's what I can think of for now.