I realize this post is 3 years old, but I thought I'd chime in on the chance anyone searches & lands here looking for where Escape from New York was filmed in St. Louis. As a huge fan, I've researched it extensively--it bugged me until I saw it for myself.
These are mainly exterior shots--many of the interiors were on sound-stages or have been previously documented. You can "tour" the exteriors I list below with "street view" on google maps.
The "President's Pod" scene, I believe, was filmed on St. Charles St. between 17th & 18th streets in St. Louis, closer to 18th St. The scene was shot facing west toward 18th St. on St. Charles. The pod sits in the northeast corner of the building on the southeast side of St. Charles & 18th St (sadly now repaired--not even a Presidential Pod tribute. Boo!). The building on the northeast corner of that intersection appears to have been demolished, but if you freeze the scene as Romero walks toward Hauk (he walks east down St. Charles St.), I think you'll recognize the building on the northWEST corner of the intersection to be the building in the background that still stands there today (this is the building Hauk focuses on when Romero laughs & then you can see Romero's shadow on it). This is also where Snakes sits later in despair after returning empty-handed from the theatre. There is also one shot east down St. Charles from 18th Street as Snake starts to run away from the Crazies as they emerge.
The parking lot where the helicopters land when Hauk first goes in to retrieve the President (before he sends Snake) is just northeast of St. Charles & North 17th street. If you use street-view on google-maps & look northeast, you'll still recognize the building that was behind the choppers as they landed. The parking lot is still--well, a parking lot.
The building facade in the distant background of the chopper scene that says "Anchor" on both sides of the archway is still there, too (though it no longer says "Anchor" on the windows) @ 1619 Washington Ave.
The Theatre scene, as mentioned above, was shot @ The Fox Theatre at 527 N Grand Blvd.
Brain's pad (aka "The New York Public Library") was shot @ the St. Louis Masonic Temple @ 3670 Lindell Blvd (PS--have to type "Blvd." in or you'll get the wrong address on street-view).
The big fight with Slag (Ox Baker) was filmed in the Grand Hall, Union Station @ 1820 Market St.
As noted above, the Chain of Rocks Bridge (Madison, IL) serves as the set for the final run to save the President (with mines & where Brain & Maggie *spoiler* get killed).
Likewise, Snake passes what is now the Schlafly Taproom (as mentioned above) on his way to the plane crash in a small park. The building (complete with small gated arch, still there!) is on the southwest corner of Locust St & 21 St. The building on the northwest corner is still there, as are the buildings in the background north of the park (which I believe are now luxury loft condo's) & the small park itself (on the northeast corner of the intersection).
Happy hunting--Escape from New York. Such a great movie!
--Rave
=)