The world of Game of Thrones is more familiar than you might think, especially if you're familiar with Dubrovnik. That's a place in Croatia. Many memorable scenes in the last season were filmed there, and Redditor Rach11 took pictures to help us compare and contrast.
From these pictures, it's clear that CGI was used to transform these locations into Westeros -- but even so, it's still rather recognisable as Dubrovnik. Take a look:
"Lots of the scenes are filmed at this Fort just outside of old town up on a hill. Most of the times people are walking around by stone walls and paths it's either here or on the city walls around Dubrovnik."
"A few of the scenes from Qarth were filmed on nearby Lokrum island."
You can view all of the pictures here. If you're curious, yes, people are capitalizing on these locations -- there are Game of Thrones 'walking tours' offered by travel companies.