My favourite Marilyn Monroe film is Some Like It Hot (1959) which although set in a swanky beach hotel in 'Miami' was actually filmed at the Hotel del Coronado. Fabulous place, built in the late 1880s, all crisp white wood, rotundas, terracotta roof and original elevators. It has an interwar feel, perfect for Some Like It Hot's prohibition story). The film also has one of the best final lines of any movie. See here.