As luck would have it, I not only got to see the set but happened to get there during 1st unit filming. My family and I caught glimpses of Zack Snyder and Ben Affleck in his Bruce Wayne costume. I also managed to get some video footage of Ben Affleck next to a crumpled Metropolis City Bus. This turned out to be the first images of Affleck as Wayne and it went viral that week (August 4th).
The building is Wayne Financial, but the setting seems to be Metropolis. People on the comment boards are speculating that this might be wreckage from the Superman-Zod fight at the end of Man of Steel, but we're seeing where Bruce Wayne was at the time.
The footage was covered by Batman-News, Superman Homepage, AMC Movie Talk, and other news sites.