Riley walks through the early morning streets after the massacre in the apartment in episode 1x02 "I Am Also A We".
Ethan Hunt emerges from the underground.
From episode 4x01 "The Yanks in the U.K.: Parts 1 and 2".
Harry, Hermione, and Ron apparate to London and barely avoid getting smooshed by a bus.
Source: The Worldwide Guide to Movie Locations