Interesting question... I am sure there are many.

Prabhat Studios was one the great pioneers of the Indian Film Industry in the 1930s and 40s. They produced many classics - majority of them were shot inside the studio/in the nearby areas. The studio was located at the present day Films & Television Institute of India (FTII), on Law College Road.

A recent Amitabh movie 'Viruddh' had some scenes shot in a bunglow near Deccan Gymkhana, on Prabhat Road.

Raj Kapoor's 1960s classic 'Sangam' has many scenes shot in Pune. Pune station, Camp area, the street outside Dorabjees - are prominently featured.

Came across this link - ("List Of Movies shot at Pune,INDIA"): http://www.bollywoodhungama.com/movies/shootinglocations/in/121.html

Doesn't look quite exhaustive.

There are too many of them! Saas, Bahu Aur Sensex was shot entirely in Pune (magarpatta city, and little bit in other area). Some portions of Knockout were also shot here from amongst some of the recent movies.