Here are links to other Madonna video or movie locations and shows:
Evening With Madonna - Smirnoff Nightlife Exchange Project
La Isla Bonita
Like A Prayer (video)
Like A Prayer (album)
Next Best Thing
What It Feels Like For A Girl
The video for Open Your Heart features a theatre facade built up on a small hill. Surprisingly, the hill is still there and nothing has been built on it.
Update February 2015: I came by in the evening to take some night shots:
In the end of the video, Madonna and the boy go skipping off up the street.