All six Harry Potter films released so far, and the upcoming two part release of Harry Potter and the Deathly Hallows, have been primarily filmed at Leavesden studios.

Films
Harry Potter and the Philosopher’s Stone (2001)
Harry Potter and the Chamber of Secrets (2002)
Harry Potter and the Prisoner of Azkaban (2004)
Harry Potter and the Goblet of Fire (2005)
Harry Potter and the Order of the Phoenix (2007)
Harry Potter and the Half-Blood Prince (2009)
Harry Potter and the Deathly Hallows – Part 1 (2010)
Harry Potter and the Deathly Hallows – Part 2 (2011)

The 5972 “Olton Hall” steam train used to pull the Hogwarts Express seen on a trailer just outside Leavesden studios:

Photo by monkeyboy69 - http://www.flickr.com/photos/monkeyboy69/2453328732/