Loads, including Hawaii and England for North Korea, and Spain for Cuba. Justified Trope since those are still Communist nations.
Despite fears that the ice would melt and force filming to be moved out of Iceland, the film crew managed to avert this and stick around for those scenes.
Hey, It's That Voice!: Since doing this film, Toby Stephens (Graves) has played Bond in two radio adaptations of the Fleming novels.
Stock Footage: When the Americans launch a missile at Icarus, it is the exact same one used by the British Navy in Tomorrow Never Dies.