They are filming in the East Oahu neighborhood of Portlock, tucked back on a street with Multi-million dollar homes. This is where the are filming the sequences of the Losties climbing down the bamboo ladders to the Cave. I saw Kate, Jack and Sawyer and also saw the bamboo ladder to verify this is what they were actually filming.
Source: PF108@DarkUFO
Source: PF108@DarkUFO
