Olivia talks to Broyles in the lobby outside Walter's lab in pilot episode.
The police follow Helena's clues to her hideout in the basement of an old church in episode 1x04 "Effects of External Conditions".
Source: Orphan Black — Wikia
Source: MCU Location Scout
Pike travels down to the reclusive Klingon monastery to retrieve a time crystal and is faced with a terrible vision of his future in episode 2x12 "Through the Valley of Shadows".