The two-and-a-half minute film clip of Subterranean Homesick Blues is often considered the forerunner of music videos. It was filmed at the end of Dylan's tour of England in 1965 to be used as a trailer announcing that the documentary of the tour was coming to theaters. Dylan also wanted the short film to be played on early video jukeboxes (there's more detail on this and more interesting facts on the film at the end of the entry). Right now, guv'nor, I want to take you to the location -- in London.
But first, just in case you are wondering who's in the background. That's the poet Allen Ginsberg (on the right, with the white shawl) the writer of Howl! among other works, and Bob Neuwirth, a musician and, like Ginsberg, a longtime friend of Dylan. It's Bob Neuwirth holding the camera in back of Dylan on the cover of Highway 61 Revisited. Both men were on the Rolling Thunder tour.
... and this is where that scene was filmed: behind London's famous Savoy Hotel, at the intersection of Savoy Hill Road and a dead-end alley called Savoy Steps, near the River Thames, in the heart of London.
Related - Here's the video: