Walter Neff’s (Fred MacMurray) car swerves down W. 5th Street at S. Olive Street, Los Angeles, California
Neff’s car careens through the intersection of S. Olive Street at W. 6th Street, Los Angeles, California. The Philharmonic Auditorium and the Title Guarantee Building (the taller structure) are visible in the background. The Philharmonic Auditorium stood at the corner of 5th and Olive. The Auditorium hosted the L.A. Philharmonic until the latter moved to the Music Center in 1964. The building was demolished in 1985.
Neff parks his car in front of his office building – 618 S. Broadway, Los Angeles, California. That's my best guess from studying the configuration of the buildings and streetcar tracks on old photographs. The office interior was filmed on a studio set.
Phyllis Dietrichson’s (Barbara Stanwyck) house - 6301 Quebec Drive, Los Angeles, California
Neff’s apartment building exterior – 1825 N. Kingsley Drive, Los Angeles, California. The interior was filmed on a studio set.
Nino Zachetti (Byron Barr) waiting for Lola Dietrichson (Jean Heather) at the southwest corner of Hollywood Boulevard and Western Avenue, Los Angeles, California
Phyllis Dietrichson and Neff secretly meet at Jerry's Market – 5330 Melrose Avenue, Los Angeles, California. Jerry's Market was located across the street from Paramount Studios. It has been torn down and Producers Studios now stands in its place.
Neff boards a train posing as Phyllis Dietrichson's husband – Southern Pacific Railroad Station, 201 N. Front Street, Burbank, California. It turns out it was not filmed at the Glendale Station, the sign was fake. The production had to relocate to Burbank due to the wartime dim-out regulations. The old Burbank station was damaged by a fire in 1991, and was later demolished. The archive photo below shows it indeed looked like the one in the film. Many thanks to Steven Wells for the correction.
Neff and Lola in the hills overlooking the famous Hollywood Bowl. The entrance to Hollywood Bowl is at 2301 North Highland Avenue, Los Angeles, California