• FIT FOR FANTASY: Godafoss waterfalls in Iceland is one of the locations for the TV series Game of Thrones.

  • A polar landscape with Mount Vindbelgur in the background, at Lake Myvatn in Iceland, another location for the Game of Thrones TV series

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IT’S cold in the north of Iceland in winter. My hat, scarf, four layers of thermals and enormous hiking boots are inadequate protection against the biting wind and icy ground. One of our party has come dressed for a trip to the pub on a Friday night. Unsurprisingly, he slips on the ice almost as soon as we step off the bus on to the shores of Lake Myvatn on our whistle-stop Game of Thrones location tour.

I don’t laugh, because I don’t blame him: I had also imagined that some of the frozen scenery in HBO’s global hit fantasy series — a feast of swords, sex and sorcery set in a brutal medieval world — had been faked for television. Standing here, barely 100km south of the Arctic Circle, I realise that cast and crew were, in fact, freezing cold and trudging along the same icy path we are now negotiating in single file. I feel extremely hardy and brave. Not to mention star-struck.

"Set-jetting", visiting the locations where TV series are filmed, is growing in popularity, helped by the new breed of long-running, high-budget, TV series. It’s a modern iteration of the literary pilgrimage — Stratford-upon-Avon has long thrived on the memory of its most famous dead resident, as has Haworth, the Yorkshire village that was home to the Brontë sisters. And it gives a focus to travel. You can’t see all of a city or country, so why not concentrate on the places that already have meaning for you?

Iceland has reported a dramatic increase in visitor numbers. International arrivals last month were up 40% compared to 2013, though the authorities say it’s too early to know how much of that was due to any Game of Thrones effect. Nor is the country alone in benefiting from the series, which is set in a variety of locales and filmed in Northern Ireland, Morocco and Croatia as well as Iceland.

Rather more exotically, a nine-night Game of Thrones "set-jetting" holiday from a luxury tour operator is the first to combine the series’ warmest and coldest locations. (missing out the wet parts). In May, it will take fans to Dubrovnik (which doubles as Kings Landing, capital of fictional Westeros) and tour other locations on Croatian islands; then it’s on to Iceland, staying in luxury hotels and visiting several locations. The organisers even lay on an outdoor feast, eaten around a table carved from glacial ice, with guests keeping warm under black cloaks and animal skins like those worn by the fictional Night’s Watch.

Our tour is led by guides Jon Thor Benediktsson (who also acted as guide for the Game of Thrones crew) and Illugi Már Jónsson. It focuses on the area near Akureyri (population 18,000), the largest town in the north of Iceland, where up to 270 cast and crew were based while filming season three of the show. We are visiting some locations for scenes that take place in the freezing wastes north of the Wall, a lawless place populated by wild tribes and killer zombies (the White Walkers).

Our first stop is Godafoss ("waterfall of the gods"). It’s a spectacular torrent that played a key part in Iceland’s history when, in about 1000, an island leader declared his conversion to Christianity by throwing statues of the Norse gods into these falls. Next, it’s on to vast Lake Myvatn, a desolate place surrounded by lava stacks. It was used for several scenes, notably those leading up to the moment when Jon Snow, soldier of the Night’s Watch, heads into a cave with feisty local woman Ygritte — and breaks his vow of celibacy. Cast and crew, we learn, arrive in the early morning, well before the (very late) dawn in the Icelandic winter. The equipment is carried from the buses by sledge and everyone rehearses under artificial lights so that they are ready to film as soon as the sun comes up, making the most of the four to five hours of daylight.

This is not Alpine scenery, it’s wilder and more open. Benediktsson tells us that just 8% of Iceland is wooded, Vikings having chopped down most of the native trees after settling here from the ninth century onwards. However, there is a replanting programme and our guides point out a small wood on the opposite side of the lake that is used in scenes requiring a forest setting. The Game of Thrones crew also filmed near here last summer — but we aren’t told exactly where.

After visiting the extraordinary lava stacks at Dimmuborgir (used to film scenes of Wildling leader Mance Rayder’s camp), we drive to lunch on a farm near the lake. Its cowshed has a rustic café attached and panoramic windows allow us to watch the cows having their lunch at the same time. The woman from the tourist board gives each of us a tiny piece of obsidian, a rock formed from cooled lava. In the series, these shards are called Dragonglass and have magical properties — they are the only thing that can stop the White Walkers.

Our afternoon stop is at the bubbling sulphur pools and steam vents at Hverir. It smells foul, of course. Back on the bus, we learn that geothermal steam vents like the ones we’ve just seen are used in the series to for wind and snowstorms.

We approximate a Game of Thrones bathing experience by ending the day at Myvatn Naturebath, pools filled with naturally heated, bubbling blue waters rich in silica and sulphur and drawn from a borehole 2,500m deep. "It’s what keeps us looking so young," says Thor.

We have a naked stand-off when the Icelanders in our group remove all their clothes to shower. In Iceland it’s considered very rude not to shower naked before bathing.

Safely in the water, and with cultural differences set aside, we watch the sun set over volcanoes and drink a welcome beer offered by the poolside waiters. It’s 0°C outside, but it feels perfect floating here, just North of the Wall. And not a White Walker in sight.

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Location tours, from Downtown Abbey to Mad Men’s New York

’SET-JETTING’ tours to the locations of famous television and film series are now all the travel rage, writes India Ross.

Here are a some famous location tours worth considering:

Downtown Abbey

Breaking Bad | The original script set the award-winning series in California but it ended up being filmed in Albuquerque, New Mexico, to take advantage of tax breaks. The show’s success has drawn thousands of visitors, with the city’s website offering a guide to filming locations and an often oversubscribed Breaking Bad trolleybus tour.

Downton Abbey | The global hit has been a boon for English tourism. Visitor numbers at Highclere Castle, Berkshire, which doubles as the Abbey, have soared; hotels such as Ellenborough Park have offered breaks including private Highclere visits while numerous bus tours take in Highclere and the Oxfordshire villages are also used as locations.

Boardwalk Empire | The seaside resort of Atlantic City, New Jersey, was the backdrop for Martin Scorsese’s prohibition epic. Visitors can follow a self-guided route set out on the tourist board website, or take the Roaring ‘20s trolleybus tour.

Borgen | Visitors can explore Copenhagen’s political scene — fictional and real — on walking tours with guiding company Peter and Ping. Highlights include Christiansborg Palace, whose nickname gives the series its title, and the offices of Ekstra Bladet, the real-life counterpart of Ekspres, the show’s tabloid paper.

Mad Men | The Manhattan of Sterling Cooper is revived in the Mad Men Cocktails Experience. Participants, many wearing 1960s dresses or sharp suits, meet at Grand Central Station and tour Madison Avenue, swinging through a sample of Don Draper’s many watering holes.

© The Financial Times Limited 2014