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The MiB headquarters is actually a ventilator shaft for the Holland Tunnel!
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The alien spaceships that have been 'parked' in New York since the 60's according to the movie are in fact the two towers of the 1964 New York Worlds Fair, the globe, called the Unisphere, that is destoryed in the film is safe and well just a short distance north
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The jewellery store in the movie is an actually jewellery store it's real name is 'The Question of Time'.