King's Landing Walls
The city watch searches for the various bastards of Robert Baratheon in episode 2x01 "The North Remembers". Jon is escorted along the walls by two guards on his way back to Castle Black in episode 8x06 "The Iron Throne".
House of the Undying
Daenerys enters this tower after her dragons are stolen in episode 2x10 "Valar Morghulis".
The city watch searches the shop for Gendry but he is already gone in episode 2x01 "The North Remembers".