Yes, this place is the way to the Bloody Gate as seen in Season 5, and also a UNESCO world heritage site. This place is Thingvellir National Park and is well-known in Iceland. It is also one of the most recognizable filming locations used in Game of Thrones. This canyon was also used as the entrance to the Eyrie in Season 4. While the place can look so dark and sad, it is not all gloomy as one thing visitors can do here is have some snorkels and dives to enjoy. 

Þjórsárdalur (Thjorsardalur) Valley, is a place that looks straight out of a comic book as it has lots of highlights, including the stunning Haifoss waterfall. This place though was used as one of the darkest and saddest locations in the whole GOT series as this is where you'll find a farm where all inhabitants were killed by wildlings when they climbed the wall. Visitors can easily visit this village recreation with a small fee for entry. That farm, in actuality, is something visitors can easily visit for a fee nowadays.

Hengill mountain (Hengilssvæðið), is a large volcanic mountain and is known to be relatively close to the capital compared to other GOT filming locations in Iceland. For the show's fans, recognizing this place would probably be easy as this mountain can be seen towards the end of Season 4 where Brienne stumbles upon the Hound and Arya and fights Clegane. The vast beautiful landscape of the place fits the scene just perfectly as it was shot in seven locations around these hills. Now, that's a really good way to utilize spaces this wide and beautiful.

Þórufoss, or Thorufoss, is one of the most breathtaking waterfalls that one will see around the world. That is why it isn't hard to understand why it was used in GOT in the first place. So, if you're thinking that Iceland was only used for 'North of the Wall' locations, then there is this place where the GOT crew shot in the summertime. One will remember this spot as when Drogon got a bit peckish and ate a goat in Season 4. Though the view may look as if it is hard to reach, it is actually just a short drive from Iceland’s famous golden circle. 

According to folklore, Dimmuborgir is the home of a famous troll named Grýla and her third husband Leppalúði. By the looks of it, this place surrounded by amazing lava formations and caves just looks like this could possibly be a true haven of mystery. This is where the wildlings set up the camp in Season 3 north of the wall. This place fits just right in as a Game of Thrones filming location as its name literally translates to 'Dark Fortress', and you'll surely expect something like that in the show, right?