Elfen Lied is one of the first anime whose real-life location I learned about. That’s all thanks to comrade punynari, so make sure you check out his pilgrimage posts as well.
The first location is Sasuke Inari Jinja in the woods of Kamakura, east of Kamakura Station. Get on Yokosuka Line at Tokyo Station or Shinagawa Station and get off at Kamakura. You can also get on Toukaidou Line, go as far as Oofuna Station and get on Yokosuka Line there. At Kamakura Station, use the east exit and go straight forward and then turn right at the second traffic light. Go on and make the second left. Alternatively, you can reach Sasuke Inari Jinja from Kita-Kamakura Station if you follow the hiking path.
The second location is the vicinity of Gokurakuji Station. You can either walk from Kamakura Station or Sasuke Inari Taisha, or you can get on the Enoden Line at Kamakura Station and get off at Gokurakuji.
The above photo has nothing to do with the pilgrimage, but I consider it to be one of the best shots I’ve ever taken.
The last location is Enoshima, a very nice place to go for a trip. To get there, you will have to get on the Enoden Line and get off at Enoshima Station if you are already in Kamakura. If you are coming directly from Tokyo, get on a Toukaidou Line train, get off at Oofuna Station, and use the Shounan Monorail.
Here is the map of all of the places.
View Elfen Lied in a larger map