The series is filmed at Highclere Castle, set on 1,000 acres in West Berkshires, Hampshire--a landmark estate owned by the Carnarvon family since the late 17th century. It's open to the public during the summer for $27 admission fee and can also be rented for weddings and other events. The kitchen and servants' quarters, however, are shot in a London studio because those parts of Highclere have been modernized.
In the 2012 book "The Chronicles of Downton Abbey: A New Era," authors Jessica Fellowes and Matthew Sturgis clarify that although Cora's late father (who has been identified on the show as Isidore Levinson, a dry-goods magnate from Cincinnati, Ohio) was Jewish, her mother, Martha, was Episcopalian and raised Cora likewise.
When the first series was broadcast, Julian Fellowes, the creator and executive producer, was annoyed at newspaper articles which printed viewers' criticisms of anachronisms (e.g. TV aerials and double yellow lines in shot), especially the newspapers' assumptions that *all* such criticisms were valid - for example the word "boyfriend" was wrongly thought to be an anachronism when in fact it appeared in print in 1889, long before the time when Downton Abbey was set. At the time, he said "They think to show how smart they are by picking holes in the programme to promote their own poshness and to show that their knowledge is greater than your knowledge". However in an article in Radio Times on 17 September 2011, coinciding with the start of the second series, Fellowes apologised and commented "I behaved rather badly by getting the hump".
As a guest on Late Show with David Letterman: Episode #19.88 (2012), Michelle Dockery revealed that, given her working class background, had she been affiliated in any way with society depicted in the story's time frame, she would most likely have been her housemaid Anna rather than the aristocratic Lady Mary Crawley she portrays so convincingly in the series.