London as a film location?

[Reno]

Many American films set in New York are filmed elsewhere (Boston is a common alternative with lots of skyscrapers) as NYC is just too costly a place to film.

You are right but it's not just NY. A lot of films that take place in the US are shot in Canda and in Europe to keep down costs. Toronto is the most frequent stand in for NY and Vancouver often doubles for San Francisco. Hellboy's New York was actually Prague and in The Machinist Los Angeles was played by Barcelona.