The appropriately named website Filming in Brooklyn has a report today confirming that Fringe is filming in--wait for it--Brooklyn. While there are no real spoilers in the report, which includes a few spy photos of Joshua Jackson, be forewarned that these types of reports essentially deal in spoilers. If that's not a problem for you, the article is here.
Word on the street is the next chance you'll get to catch Fringe filming is the morning of July 10th, in the vicinity of 7th Avenue and 92nd Street, Bay Ridge, Brooklyn, New York.
Update: Make that Friday.