Here's a breakdown:
* Exterior shots: The town square, Luke's Diner, the Independence Inn, Miss Patty's Dance Studio, and many other locations were all filmed on location in Washington, Connecticut.
* Interior shots: Some interiors, like the diner and Lorelai's house, were built as sets. Others were filmed in real houses and businesses in the area.
So, while there were definitely sets involved, the show's heart and soul were brought to life through filming on location in a real town, which added to the charm and authenticity of the series.