Most of the films are set in a fictional town called Miskatonic but were actually shot in Spain due to budgetary requirments. i.e. these guys had little money but large imaginations. -Misktonic is the fictional name used in Lovecrafts' novels.
Contributed by: nutz'n'boltz
In the scene where Ken Foree gets eaten by all those bugs, the bugs are actually small, screwed up pieces of paper, being blown around by a big fan.