There is the Buckner Mansion, whose exterior was used to show the witches' academy; the Maison Vitry building, which depicted a voodoo queen's hair saloon; and Lafayette Cemetery No. 2, which was used to film a funeral procession set to jazz music.
Many filming locations are accessible to the public and some tours even take you inside the buildings.
One of my fondest memories of New Orleans was when I went on a 21/2-hour American Horror Story- themed walking tour to at least four filming locations in the city.
My tour guide, Bea, who lives in the city, was knowledgeable, entertaining and, most importantly, just as big a fan as I am. As we visited the sites, she showed me screengrabs of the show on her iPad and we prattled on about the stars, such as American actors Evan Peters, Sarah Paulson and Jessica Lange, and what filming might have been like.
"Did you see the stars when they were filming?" I pestered.
"Did you get their autograph? Did you take selfies? Are they as good-looking in real life? What did they eat for lunch?"
I had questions, she had answers and the cost of the tour - US$25 (S$34) - was the best money I spent that day.
Seeing the locations in person, I could compare the actual spots with how they appeared on screen and appreciate the camerawork, lighting and computer-generated imagery used to create the show's dark, foreboding tone.
Its creators reportedly put a lot of care into selecting the locations and how to shoot them.
For example, the exterior of the Old Orange County Courthouse in Santa Ana was used to depict an asylum of crazy criminals and even more twisted caretakers in the second season.
Mr Michael Goi, a director of photography on the show, revealed in a behind-the-scenes featurette that some scenes at the courthouse were shot on colour-reversal film, which provides "a lot of contrast" and "really deep blacks".
For a fan, the best part about being on location is that it allowed me to live out some of my ultimate fanboy fantasies.
In New Orleans, I walked across Toulouse Street dressed head-to- toe in black, donning sunglasses and holding a black umbrella, just like Lange did when she played a witch in the third season.
In Los Angeles, I posed for photos at a famous streetlamp installation at the entrance of the Los Angeles County Museum of Art, the exact spot where Lady Gaga stood in the fifth season, when her bloodthirsty vampire character was looking for victims to kill.
After returning to Singapore and re-watching the scenes for the umpteenth time, I realised my trip helped me "level up" as a fan.
Now, not only do I know the scenes word-for-word, but I also know exactly where they were shot. And best of all, I have been to those locations.
1 BUCKNER MANSION