The castle that Robert MacDougal (Sean Connery) owns and prepares for the robbery with Catherine Zeta Jones is Eilean Donan Castle in Scotland and is open to the public. It has also featured in a James Bond movie.
The exterior shots of the world-famous Petronas Towers were shot here in Kuala Lumpur
The skywalk between the Petronas Towers was filmed on a set at Pinewood Studios in the Albert R. Broccoli 007 Stage - famous for it's James Bond sets. Sadly the soundstage burned down on 30th July 2006 but has since been re-built.