Parts of Sixteen Candles were filmed just two blocks from where I grew up. I now live in the Wicker Park neighborhood in Chicago and a few scenes from the movie of the same name were filmed here (also a lot of High Fidelity). Growing up near Chicago I see a lot of the city in movies. It was very easy for me to tell that the train scene from Spiderman 2 was filmed on the L here.
Now that the state is kicking in for more film subsidies, a lot more films shoot have been back in town over the last year or two.
One more- I also got to see them filming part of The Weatherman last year at O'Hare. The odd part was O'Hare was done up to look like one of the NYC airports, with NYC taxies and all that jazz. And from 50 feet above Nic Cage, you could totally see the man was very far along in the balding process!