Shot on film in black and white (did people back then even have the word "digital"?), Casablanca was a marvel of cinematography as much as anything else. It did get an Oscar nom in the category, although it lost to The Song of Bernadette.
The bulk of the film was shot at Warner Brothers Burbank Studios. So no, sorry to break it to you—it was not shot entirely on location in actual Casablanca (if it was, they could have used real live Nazis who still occupied the city at the time the film was shot). We know, we thought that monkey in the black market looked real, too.
With cinematography by Arthur Edeson of Maltese Falcon fame, the film employs certain lighting techniques preferred by the director Curtiz, giving it a definite film noir feel throughout. If you were to watch the movie again and pay attention only to the shadows (we'd give you huge props if you actually did this), you'd notice how greatly they've been stressed. For example, there was a concerted effort to make the shadows of certain shapes resemble prison bars, to convey a trapped feeling. And the sweeping, searching spotlight adds to the dramatic effect of the lighting—everyone's being watched.
Fortunately for us, we don't have to feel trapped at all, because we have the power of the "pause" button and can stop watching anytime we want. Like right now; no, wait, just a few more scenes and we'll definitely stop.