I was visiting the Chicago Div School when they were shooting Proof. They used the div school as the math department, because apparently the math department at Chicago doesn't look enough like itself for Hollywood. *rolls eyes*
My roommate in Budapest was a student at U of C when they were filming parts of the movie there. She wanted to be an extra, but allegedly they told her that she was too pretty to be a mathematician. :( On the upside, she got to meet Anthony Hopkins.