Michael Jackson & Paul McCartney - Say, Say, Say

Early scenes in the video where Michael hitches a ride with the McCartneys were likely filmed on or near Drum Canyon Road outside Los Alamos, CA. This is just a hunch based on the background hills but I haven't been able to identify a specific spot yet. These coordinates are a close match:

GPS Coordinates:

34.700835,-120.285513

As they drive into town, they are seen passing by an old Victorian mansion. This is Victorian Mansion Bed & Breakfast at 326 Bell Street in Santa Ynez. Today, this luxury hotel rents out 6 different themed rooms. 

The rest of the video takes place in the saloon of a rustic-looking hotel. This was all filmed inside the 1880 Union Hotel at 362 Bell Street in Santa Ynez. While it still maintains a rustic feel inside, it has been completely remodeled since and looks much different than it's appearance in the video. It is also unfortunately only open for private event rentals. 

If you peek through the gates on the left side of the building you can make out the staircase that they escape from at the end. Sir Paul can also be seen running through the ivy-covered trellis on his way out. 

Out front you can make out the streetlight post that Sir Paul spins around. 

It is out here that they say farewell to LaToya and jump into the back of the pickup truck. 

They are then seen going off into the sunset, traveling west on Bell Street.