Oh, Canada

You've heard that truth is stranger than fiction: Brokeback Mountain is a case of real nature being prettier than anything CG. However, although the film is set in Wyoming, it was almost entirely filmed in the Canadian Rockies of Alberta. Sorry, cowpokes, but there is no real Brokeback Mountain.

However, a dedicated fan site has a list of all the Canadian filming locations if you want to grab your passport and a tent and get to hiking. (Source)

Ang Lee had to translate the images from the short story into film. One memorable passage in Proulx's story reads,

Ennis, weather-eyed, looked west for the heated cumulus that might come up on such a day, but the boneless blue was so deep, said Jack, that he might drown looking up. (36)

Lee conveys the "boneless blue" with long, lingering shots of deep blue sky.