It's difficult to determine exactly which building could be seen in any particular scene, no matter how many times you pause the DVD, but the fountain, at least, was easy. I filled out some of the information from what I couldn't discern in person from a piece in the
Sydney Morning Herald.
The woman in red walks in front of the fountain at Martin Place, by Elizabeth Street. There are some gorgeous banks there, and they put up a massive Christmas tree across the street, in the other half of the area.
The helicopter captured by Neo and Trinity takes off from the roof of the Aon Tower.
Morpheus is held in the Colonial State Bank Centre, Martin Place. When the chopper swings over the city, carrying Neo and Trinity, you can see the AWA tower and the IBM building before it crashes into the BT Tower on the corner of Market Street. Neo lands on the roof of the Allianz building (formerly the MMI Centre) on the other side of Market Street, grabs hold of the cable, and saves Trinity (however, it has been brought to my attention that it may be the Veritas building). The Mulpha building (look for the big sign) is also seen early in the movie, and that's at 25 Bligh Street, in the city. simonc used to work there, and passed on the info.
The Wachowski brothers wanted to use a real train for the scene with Neo battling Agent Smith. It was filmed on a section of track behind the silos at White Bay, on the Balmain side of the Anzac Bridge.
The old post office in Railway Square became the building in which Neo's cohort (Trinity, et al.) ends up inside the walls when they're trying to rescue Morpheus.
The Hickson Road overpass was used in the scene in which Trinity races to a phone booth seconds before it is crushed by a truck.
Just before Neo drops his cell phone down to the street, before he's captured by the agents, you can see the Anzac Bridge.