Over the rainy weekend I watched Bringing Up Baby (1938) starring Katherine Hepburn and Cary Grant. The opening and closing scenes are staged in a Natural History Museum complete with brontosaurus skeleton and other badly crafted props:

It reminded me of some other interesting uses of the museum building in cinema.
Blackmail, Alfred Hitchcock (1929)
The final chase scene leads the viewer through the Ancient Egypt Hall of the British Museum:

Viaggio In Italia, Roberto Rossellini (1953)
I am pretty sure there are 200,000000 dissertations already written on this subject! It'd surely be fun to research.