Game of Thrones
Castle Black
Home of the Nights Watch at the base of The Wall where Jon Snow travels. Photos of the set constructed in the disused quarry can be found here. One of the quarry walls was painted to look like ice, all of the buildings around the courtyard were built (including several interiors) as well as a working elevator.
Appears in 19 episodes.
Winter Is Coming
Three scouts from the Nights Watch ride out of the castle north of The Wall.
Dragonstone
Meera and Bran return from the north and talk to Tollett outside the wall.
The Iron Throne
Jon is escorted back to the castle and greets the few remaining members of the Nights Watch before heading north with the Wildlings.
Also appears in “Lord Snow”, “Cripples, Bastards, and Broken Things”, “Two Swords”, “Oathkeeper”, “The Watchers on the Wall”, “The Children”, “The Wars to Come”, “High Sparrow”, “Kill the Boy”, “The Dance of Dragons”, “Mother's Mercy”, “The Red Woman”, “Home”, “Oathbreaker”, “Book of the Stranger”, & “The Door”.
Blackwater Bay
Stannis's forces come ashore and attack King's Landing where Tyrion helps defend it in episode 2x09 “Blackwater”. Tyrion and Jon land in the large army camp beneath the walls of the city and prepare to attack in the morning in episode 8x05 “The Bells”.
Source: Winter Is Coming
Hardhome
Jon Snow goes to Hardhome with Tormund Giantsbane to convince the wildlings to come south of the wall and help fight the Army of the Dead in episode 5x08 “Hardhome”.
Outside Cave
Bran comes outside to talk with Meera who is sitting outside thinking in episode 6x02 “Home”. Meera sees the dead army gathering outside the cave in episode 6x05 “The Door”.
Source: Winter Is Coming
Frozen Tree
Bran has a vision of the Night's King around the now frozen tree in episode 6x05 “The Door”.
War Camp near Winterfell
Jon, Sansa, and Davos look over their forces gathered near Winterfell in episode 6x07 “The Broken Man”. Davos finds the pyre where Shireen was burned in episode 6x09 “Battle of the Bastards”.
Cliffs of Casterly Rock
Grey Worm leads a small group of Unsullied through the secret entrance of the castle in episode 7x03 “The Queen's Justice”.