From MuggleNet:
Reader Hollie wrote to us this morning saying that for the past four days, filming for the Order of the Phoenix movie has taken place at Butler's Wharf, near Tower Bridge in London. This makes sense because OOTP director David Yates said this in an interview last May: "So far, we have spent a lot of time on boats on the Thames. I want to do a great big wizard chase past the London landmarks and it is going to be very exciting, but it has not been easy to set up."

We'll keep you posted if anything comes up about this.