You could do a tour!:
The Bus Terminal scene was filmed at Grand Central Station in Glendale, CA.
The bike store where Dotty works and where Peewee's bike was stolen is at the Third Street Promenade in Santa Monica, CA.
The Rodeo scenes were filmed at: L.A. County Fairgrounds Pomona, CA.
The dinosaurs at the truck stop where Pee-wee meets Simone are at the Wheel Inn Restaurant in Cabazon, CA, along I-10 between Los Angeles and Palm Springs.
The Alamo tour-interior, & courtyard scenes were filmed at: Mission San Fernando Rey, Mission Hills, Los Angeles, CA. Mission San Fernando Rey, Mission Hills, Los Angeles, California, USA
Francis' Mansion is located in: Handcock Park Los Angeles, CA.
The hitch-hiking scene with Mickey, were filmed on The Old Road in Newhall, CA.