Speaking of Episode 2 and the Woundup Penguin, one location seen in the show is the train station.
Now this station, actually is a train station in Toronto and is in fact Union Station. It is quite an interesting location artistically since the building was originally built back in 1927 and recently renovated. Here are some interior shots from Union Station. Note that the wooden benches that the janitor points to in the show don't actually exist. Rather they have individual steel mesh chairs. I suppose it would have been too difficult to have Katrina sleep on those things.
Just outside of Union Station across the street on Front St. is the Royal York Hotel is another location that is seen very briefly on the show. The front shot of the hotel stands in for the building that houses Dr. Ron's office in Episode 11 (Cocktail Bunny). There are some quick cut scenes showing the exterior of Dr. Ron's building when the lights go off. The exterior scene is the Royal York Hotel. I've tried to reproduce the same shot but in daylight. Here's also a shot from the distance showing what the hotel looks like.