Update: Added screenshots of the episodes.
During my vacation in Iceland I stumbled upon the filmset of Game Of Thrones. You guys might enjoy these pictures of the set. These pictures are from july 2013 and are probably for Season 4 (airing right now).
There were two trailerparks, one in the north on the cliff and one in the south. The actors on the cliff were very close to Öxarárfoss, the waterfall in the second picture.
The area is called Þingvellir (google maps). It is a national park that is a half hour away from Reykjavík (The capital city of Iceland, also the only reasonable sized city in Iceland).
In this shot you can clearly see small groups of soldiers on the face off a cliff. This must be in S04E08 where both Sansa, Little finger and later Arya and the Hound walk to the Bloody Gate in the Eire. You can see the two soldiers with spears standing on the cliff in this screenshot of S04E08. I can obviously see that there was a lot of editing involved since the gate and leftside off the cliff are not present at the filming location.
A lot of locations of S04 are probably filmed in Iceland. A lot of the landscapes (green hills, waterfalls) are very typical Icelandic landscape. For example S04E10 where Brienne and the Hound fight.
http://visir.is/tokur-game-of-thrones-i-fullum-gangi-a-thingvollum/article/2013130729446 (Icelandic website)