The veteran tells him what it was like during the 1992 riots, and tells him about the
blue diamond heist, and the two kids orphaned by the violent robbery.

This scene was shot in the back yard of 6039 Varna Ave, in Van Nuys, CA.

(Van Nuys is an L.A. suburb in the San Fernando Valley.)

[Warning: This is a private home.  Do not trespass on their property,
knock on their door, or do anything to disturb the residents.]

Here is a matching  Google StreetView of the house.

At 24:28, we see Frank at the home of Stan (the henchman who was found
dead at the bottom of an oil pit, back in episode 2), where Frank
has a conversation with Stan's orphaned boy.

 He tries to comfort the kid, telling him his father was a good man (which he wasn't),
and assuring him that it's possible for good come out of a tragedy.

This scene was shot at 6006 Sunnyslope Ave, in Van Nuys.

This house is only one street west of the retired vet's home
(although this is a significantly larger house).

Both this scene and the vet's scene were shot in the
back yards behind the houses, rather than in front.

[Warning: This is a private home.  Do not trespass on their property,
knock on their door, or do anything to disturb the residents.]

And here's a StreetView of the house.

At 36:38, we see Ani lining up with a group of well-dressed hookers, outside of what
a neon sign tells us is "The Kali Club", to get on a bus to go to that VIP party/orgy.

All we actually see of this club is the parking lot, a sort of alleyway
between  the sides of two white buildings, where the bus has stopped.

This short scene didn't provide many clues, but lightening the screencap revealed a unique,
 tall building in the background, as well as a row of palm trees and an auto dealership.

After tracking down that building to Sunset Blvd, it was a fairly simple task to find
the car lot to the north and match up the iron gate and (what appeared to be)
six garage doors on the right side.

Turns out that this was shot in the parking lot/alley between two old buildings on east Hollywood Blvd.

In the top screencap, the building on the left (west) side started out, back in the 1930s, as an upscale
market called the "Holly Mart".  Later, it housed Petersen Publishing (car guys, known for L.A.'s
Petersen Automotive Museum), and later still, they added a marquee and made it into an
X-rated movie theatre.  Today, it's vacant.  You'll find it at 5959 Hollywood Blvd.

The building on the right (east) side is an old nightclub called Florentine Gardens, where
Marilyn Monroe had her first wedding party.  It opened in the 1930's, thrived during WW2,
then went bankrupt. It turned into the Cotton Club for a while, but that didn't last either.
Today, it's still around as a modern dance club, Florentine Gardens, located at
5951 Hollywood Blvd, just west of the Hollywood Freeway.

And here's a StreetView of the space where the bus was parked.

38:05: Frank is trying to track down a prostitute named Irina Rulfo, who pawned
some of Ben Caspere's valuables.  So, after torturing a guy for information,
he learns that she stays at a house in El Monte.

So, in this scene, we see Frank and his henchmen, at night, walking up the house.

Inside, they don't find Irina, but they run into "the Cisco Kid" and his friends again,
and end up with guns pointed in their faces.

"Well, that's one off the bucket list," Frank says: "a Mexican standoff with real Mexicans."

At 41:59, we see the secluded mansion where Ani has been taken
(masquerading as a call-girl), for what turns out to be an orgy for VIPs.

Ani is forced to take drugs, but manages to locate the missing woman
that she came after.  When a security guy tries to stop her, she slices
him up with a knife, leaving him bleeding to death on the floor.

Outside, Ray and Paul have infiltrated the property, eliminated the guards,
and are waiting to take Ani away when she finally escapes.

This is the Robinson home, a 1906 Greene & Greene landmark.

You'll find it at 195 S. Grand Avenue, in Pasadena, CA.

It is about half a mile south of the Rose Bowl.

[Warning: This is a private home.  Do not trespass on their property,
knock on their door, or do anything to disturb the residents.]

Here is a Google Earth view.

And here is a Google StreetView peeking over the hedge.