Batman-News says:
The Dark Knight Rises just wrapped up in India, and now it’s moving to the next location. I’ve received word from multiple sources that The Dark Knight Rises will be filming next week on St. John Street in London. The shoot will last about four days, from May 16th until the 20th. Local businesses in the area have been told that they’ll hear gunshots during this time. It’s likely that they’ll film at The Farmiloe Building on St. John Street — this was used as the Gotham City Police Station in both Batman Begins and The Dark Knight. Stay tuned to Batman-News.com for all the latest on The Dark Knight Rises.
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It's nice that they keep you informed of where they film but it sucks that you can't be there to see it. Sure would like to be able to see them film sometime and take pictures.