I can't say I thought the movie was great. The story is silly and the lead actor was a bore (though the little girl was very good). But the imagery is so phenomenal you can ignore the rest. It was shot entirely on location around the world, from Namibia to South Africa to Bali. TARSEM, who funded the movie himself, piggybacked the shoot onto various commercials he was hired to do. For me though, it's the incredible Moghul architecture in India that stands out. Maybe that's just because I've been to a bunch of those places and it triggered great memories. One commenter on imdb went to town and identified all the locations in the movie. They got a bunch of their info from the special effects supervisor's flickr set from the shoot.
Also, here's a good article talking about how the film got made.
And another bonus, here's a timelapse video of the model build and blow-up from the finale:
That's a model of a building in the abandoned 17th century palace complex of Fatehpur Sikri, India, which was abandoned because they decided it was ok to build a palace at a place with no continuous water supply. Here's a cool quicktime vr of the inside of the building blown-up above.
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The Fall" DVD is now available on Netflix.