See also: II, III, Ghost Protocol, Rogue Nation, & Fallout.
Ethan Hunt and gang hideout in a flat above Liverpool Street Underground entrance. Ethan goes across the street to Liverpool Station to make a phone call and run into an old friend.
Bridge where Jim Phelps gets shot.
Ethan Hunt has a diner in Old Town that leads to him flooding the square.
Source: The Worldwide Guide to Movie Locations