The Avengers are currently filming in New Mexico and will be moving to Cleveland soon, a recent report states that Joss Whedon and company might be demolishing some buildings before they leave The Land of Enchantment for Cleveland.
Reports On Location Vacation:
The Avengers has been filming at Albuquerque Studios for the past few weeks but they are also expected to shoot at the Albuquerque Rail Yards, and we’ve even heard they’ll be blowing up a building or two before leaving New Mexico!
The Avengers stars Chris Evans as Captain America, Robert Downy Jr. as Iron Man, Chris Hemsworth as Thor, Mark Ruffalo as The Hulk, Jeremy Renner as Hawkeye, Samuel L. Jackson as Nick Furry, Scarlett Johansson as Black Widow, and will be released on May 4, 2012 . (Source)