A memorable scene comes in Episode 4: A group of men, wearing identical suits and bright red masks,
and each carrying a brieftcase handcuffed to their wrists,  walk down stairs into a public square
in Switzerland. They then head down an escalator into a subway station and board a train -
  where they are attacked by Akela Amador, who cuts off one man's hand to steal the briefcase.

So where did they film this scene?

Most scenes in S.H.I.E.L.D. are filmed in Southern California, including many of
the scenes supposedly set in other countries, such as this episode's scene in Belarus.

But for this red mask scene, they actually went to Stockholm, Sweden.

It's the second time they've filmed in Europe, the first time being the scene in Paris from Episode 1.

The area they enter is Sergels Square (or Sergels Torg),
Stockholm's main public square and shopping mecca, in the center of the city.

The sunken triangle plaza we see is nicknamed "The Slab" (or Plattan),
and is for pedestrians only, while the upper level is for auto traffic.

(The address of the The BarCelona Tapas Bar, seen above,
is Drottninggatan 34, 111 51 Stockholm, Sweden.)

Here is a Google StreetView of the plaza.

And here's another view from a different angle.

         

So, what about that odd-looking subway?

The cave-like subway is the T-Centralen metro station, the city’s central subway station,
at Klarabergsviadukten 59 in the borough of Norrmalm, Stockholm.

It's just a few blocks southwest of the Sergel Square.

Here is a Google StreetView of the exterior of that metro station.

         

(And for those geographically-challenged who can't even find Sweden on a map,  here it is.)