Not 100% but I think the segments/stories in the fourth season were filmed in Canada.
As it's been a few years since I watched Seasons 1 to 4 for the first time, my mind is a bit rusty on the familiar faces who appeared in the segments. But I do remember Lauren Lee Smith being in one segment set in a graveyard.
One of the other things I liked about the show was that interactive element where you tried to guess which stories were true and which were false.
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