Sarah, Felix, and Mrs. S arrive in Mrs. S's old neighborhood in episode 3x09 "Insolvent Phantom of Tomorrow".
Source: Orphan Black — Wikia
Cady attends the Mathletes State Championship that she wins in the sudden death round.
Michael arrives at a Washington D.C. fundraiser and later Nikita blows up a car out front in pilot episode.
Source: MCU Location Scout