... from the towers of Winterfell (Castle Ward) to the shore of the Iron Islands (Ballintoy Harbour), the rocky beach where the sorceress Melisandre gives birth (Cushendun Caves) to the interlacing beech trees of Kings Road (the Dark Hedges of Armoy). If you’re watching a scene set anywhere near woods, chances are it was filmed in Tollymore Forest. Entering or exiting Castle Black? That’ll be the vast outdoor set constructed in the disused limestone quarry of Magheramorne. And the number of interiors shot at the Paint Hall studio in Belfast — where the shipyard that built the Titanic has been turned into one of the biggest studio complexes in Europe — are too many to mention.Helpfully, a map has been created.
I found the map here and the quote comes from here.