Tony Stark may be down, but not out.
The exterior of the cave where Tony was held captive, and subsequently destroys the Ten Rings camp in his Iron Man Mark I suit, is located at N36 30.990 W117 49.580, in Lone Pine, CA, according to The Great Silence blog.
The Interiors of the cave were shot on a soundstage at the Playa Vista Studios aka Hughes Aircraft Studios in Playa Vista California, which is no longer in use.
MAP
(Iron Man, 2008)
MCU: Location Scout 