The first mystery novels I ever really got into were Robert B. Parker's SPENSER books, which were set in Boston. I actually got into the books after being exposed to the TV show, SPENSER: FOR HIRE. This was in the late 80s, at a time when pretty much everything on network TV was filmed in sunny California. But SPENSER: FOR HIRE was different. It was filmed entirely on location in Boston, and it looked like nothing else on TV. The producers went out of their way to highlight the city, with lots of aerial shots, and scenes set in distinct locations. I grew up in Pennsylvania, where we saw a decent amount of snow each winter. So watching SPENSER: FOR HIRE, with its cold, snowy landscapes, really caught my eye. MIAMI VICE was another early pioneer of filming somewhere other than Hollywood, but while it was different, it was still trading one sunny locale for another.
In the late 1980s, Stephen J. Cannell was looking for a way to cut costs on his shows, so he started filming them in Vancouver, BC. His reasoning was that they saved money thanks to tax breaks and the strong American dollar, and Vancouver was just a 2-hour plane ride from Los Angeles, and was in the same time zone. A lot of Cannell's Vancouver-based shows simply took place in unnamed cities (like 21 JUMP STREET) or fake cities (like THE COMMISH). WISEGUY was also filmed in Vancouver, but its setting changed with each arc.
Then there was MacGYVER. It wasn't a Cannell show, but after two years in LA, it made the jump to Vancouver -- while the stories still took place in Los Angeles. In the summer, it's not that hard to make Vancouver pass for LA, at least to the casual observer. In the winter, it's a different story. Vancouver gets a ton more rain than LA, and sometimes, even snow. I remember one episode very clearly where "Los Angeles" was covered in a foot of snow. Funnily enough, they didn't even throw in a line of dialogue about the "freak snowstorm" or anything. It was never even acknowledged.
I've watched so many shows that were filmed in Vancouver that I can know pick out a Vancouver production simply by the actors involved. Vancouver productions are legally bound to include a certain percentage of local actors, so the same people keep showing up over and over.
A few years ago, I discovered a Canadian crime drama called DA VINCI'S INQUEST, which has since become one of my favorite shows of all time. And not only is it filmed in Vancouver, it's actually set in Vancouver. The city is basically a character in the show, much like Baltimore is a character in HOMICIDE: LIFE ON THE STREET and THE WIRE. In addition to giving the show a distinct visual look, filming on location sometimes has other benefits as well. I remember reading in more than one interview that the HOMICIDE producers felt like they got more creative freedom by being located so far from Hollywood. They were, almost literally, off the network's radar.
As much as filming on location can help a show, not filming on location can give the show a disadvantage (to me, at least). I realize it's cheaper and easier to film in Hollywood on a studio backlot, but NYPD BLUE, despite all its stock footage of New York City, never really felt "real" to me. Sure, they flew the actors out to NYC once or twice a year for location shoots, but most of those exterior scenes were on a studio backlot and it was always glaringly obvious to me. Another favorite show of mine, PICKET FENCES, was set in the small town of Rome, Wisconsin, but it was filmed entirely in LA and again, it showed -- especially when they'd do their annual Christmas episode, and have to make fake snow.
I always had a hard time getting into the Tim Burton BATMAN movies because Gotham City always felt so ... designed. I could never shake the knowledge that this wasn't a real city, it was an elaborate sound stage. I realize it's a silly hang-up to have when we're talking about a guy dressed up like a bat. But contrast that to BATMAN BEGINS, where Gotham City was basically just Chicago. But it felt like a real city.
With my mystery comic, DODGE'S BULLETS, I used a real city -- Seattle. And I went to great lengths to get everything right. I supplied James Francis, the artist, with tons of photo reference for each scene in the story.
I toyed with setting NOBLE CAUSES and DYNAMO 5 in real cities too, but I opted for creating my own fictional cities, much like DC does. This is probably because if I was going to use a real city, I'd get bogged down in making things as accurate as possible ... and then my books would be even later!