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This is where Ethan and Sarah come out of the American Embassy (nowhere near the actual Embassy) party and the 'package' also gets into the open through the same side gate.
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This is where the BMW is parked when it explodes in front of Ethan's eyes.
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Tom Cruise runs up the stairs on the west side to get onto the Charles Bridge, then runs down the other side when he sees the BMW explode in the square.
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This is where the stabbings take place through the gate, after Sarah follows the 'package'.
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Jim falls from the bridge at approximately this point on the bridge.
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The restaurant explosion was filmed on a studio backlot in LA but before Ethan enters the restaurant he is seen walking across the Old Town Square and after the explosion he rushes back across the actual square followed by gallons of water
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None of the movie was actually filmed at, or near, the actual US Embassy however the central staircase inside the Prague National Museum stands in as the embassy for the party.
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This is where Max's HQ is based.
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The train line used to film the scene where Tom Cruise is hanging on to the train on it's way to the Channel Tunnel with the helicopter in pursuit, was actually filmed in Scotland. The long straight stretch of track with no overhead lines was perfect for the film makers.