Question 1

Where is Palermo?

Accepted Answer

Palermo is in Toshima, Tokyo, Japan. You can see its exact position from the map coordinates and the Street View link.

Question 2

Which scene of Durarara!! does Palermo appear in?

Accepted Answer

Palermo appears in OP of Durarara!!.

Question 3

Can I visit Palermo?

Accepted Answer

Yes. Palermo is a real place you can visit. Check what it looks like on Street View before you go.

Question 4

Where was Durarara!! filmed?

Accepted Answer

Anime and manga are not filmed the way live action is. Their backgrounds are painted from photographs of real locations, and Palermo is one of those real places (OP).