Split, Dubrovnik's northern neighbor, was used for a number of urban scenes during filming for the fourth season. This Croatian city has an impressive collection of Roman ruins called Diocletian's Palace. Many people are surprised to find out that these ruins are not part of a museum-like site. Instead, they are a living part of Split's Old Town area. Some of the city's best restaurants and bars are located near the "palace's" walls.
Split became a hot GoT-geek destination when it was leaked that it would be a filming location. Even today (well after shooting has wrapped for the year), tours of filming locations are offered by local tourist companies. Since most of the sites are centrally located, though, you can easily find them on your own.