Just a little bit of news to share that X-Men: First Class was filming over the weekend in the old Kingsway Tram Station in the Holborn area of London.
There wasn't much to see from the outside, other than a dopey looking security guard reading, you can see images of how it appears inside here:
http://www.transportheritage.com/find-heritage-locations.html?sobi2Task=sobi2Details&catid=5&sobi2Id=627
This is a massive underground area that leads to the dissused Aldwych Tube Station, unfortunately there is no public access, although it is often used as a filming location. (V for Vendetta and one of the Bond films were partially shot here I believe?)
As with all of these tid-bits I can't reveal my source, although interestingly the production details were listed as "X-men 4"...go figure?