White Sands Natl Monument and Holloman AFB. The Scorponok attack scene, as well as some of the soldiers' downtime. There were other scenes but I don't recall which else, (although the old musclecar version of bumblebee was down there on a flatbed passing through town, and so was the 2-turret decepticon tank so I'm sure there were alot more)
Witwicky's House