George Roy Hill's THE STING (1973) is set in Chicago. The Robert Redford character Johnny Hooker runs from the mob to hide out with fellow con artist Henry Gondorff, played by Paul Newman, who lives in a bordello located in a building with a Merry-Go-Round Carousel. The Santa Monica pier's carousel building served at the location.
When Robert Redford's Johnny Hooker arrives, he bounds up the stairs on the side of the carousel building. The interior's vintage Merry-Go-Round is also used in the picture.
This location, in fact all of the Santa Monica Pier, was used as a location for an episode of THE FUGITIVE titled "BRASS RING" (1963). The carousel building was also the setting for Curtis Harrington's NIGHT TIDE (1961) starring Dennis Hopper.