sure, why not ..
i wish you'd have asked me this a couple of years ago when i was still talking to this guy :
http://www.imdb.com/name/nm0003072/
i worked with his wife but havent kept in touch since they split up.
he did a lot of location work - but it was for fairly large budget films.
Sounds like most of the time they just had to kiss a lot of ass, make lots of promises ..
as far as large buildings go .. it depends on the management ...
they'll either say 'no - too much disruption', or yeah .. 'let me see the money', or 'sure - can i be the guy the zombies first victim'
a lot of people are cool about it ..
the biggest challenge for something like an old building is getting past the safety regulations .. no one wants anyone getting hurt in their building - then suing them for it ..
my sister works for a production company on the west coast ...
she worked with ian mckellen on his first movie after lord of the rings (Emile)... and he signed a lot of autographs as a way of keeping people happy (who's lives were being disrupted by the filming) .. so there's that too if the star is cool about that kind of thing..