Not sure if this clip is from there or not, but they were filming in downtown Chicago last week. This coming weekend, they're gonna be filming a coupla miles from my house. Some shots along the lakefront on a stretch of expressway that was orignally planned to connect Chicago & Milwaukee. (Only about 3 miles of the expressway were ever built. It's actually used quite often by filmmakers. Easy to shut down since it's not used much. We used to drag race there in the late night hours. Never any traffic or police presence.) And some shots up in a nearby neighborhood as well, I think.
I like what they're doing with the film. A Frank Millerish "Batman: Year One" feel. If they can realize that the first Tim Burton Batman film was so popular because it wasn't campy and rediculous, this could turn out to be just as good.
IMO that Batmobile looks rediculous, but I'll try and reserve judgement until I see it on the big screen (or driving in front of me this weekend.

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D