The harsh realities of film-making mean that it can be difficult for less realistic movies to shoot on location. Mars, for instance, is exorbitantly expensive to reach with a film crew. And that’s nothing compared to Oz, which is surrounded by an impassible desert and generally only accessible via cyclone. So directors fake it, either by building the locations themselves on a soundstage, or by getting a more easily accessible bit of terrestrial real estate to stand in.
For those who have ever wondered where their favorite settings from popular fiction are supposed to be located or where they've actually been filmed, this map, produced by Wondernode, should help. Some of it is obvious guesswork—they dare to list a set location for Springfield, the Schrödinger’s Cat of small American cities—but it’s still interesting to see, for instance, which part of Mexico was used to simulate the hyper-arid wasteland Arrakis from David Lynch’s Dune, or the disparity between how many movies are set in Africa, and how few are shot there.
You can see a full, zoomed-in version of the map at Wondernode.