I've been to a few of the places he mentions in the books: Angels Flight, the Bradbury Building, the new police HQ, Union Station, Echo Lake to see the Lady. I would love to see a list like you're suggesting.
On Michael Connelly's website (not the Amazon author page), he has a photo gallery of lots of the real locations from his novels. I just went through them and it is terrific to put real images with the places he has mentioned! Each photo has a short excerpt that mentions the place.