According to Before The Trailer:
Transformers Filming Locations In Los Angeles For June 4-6 and Casting Information
On Friday night, Transformers 3 was filming in the area of 4th Street and S. Main in Los Angeles. According to the website and people in the area, filming is expected to continue throughout the weekend before heading to filming location next week.
The website does not having filming locations or set pictures yet, but Im guessing that will change.
On a related note, the film is holding open casting this weekend, in Chicago. Anyone in Chicago that wants to be considered for an extra should click on the above link, which will lead you to where and when to attend.
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