According to EW,
The Castle Black scenes are filmed in Northern Ireland's Magheramorne
Quarry, where a practical and functional castle set rests at the bottom
of a rockface.
The rock wall is then dressed as "ice" and extended with special effects
to look like The Wall. Many scenes shot in the quarry are actually
filmed during an extremely cold winter downpour, which viewers don't see
on TV as rain typically doesn't show up on camera....
