Below is a video of the making of Tony Jaa's Ong Bak. You can see they found an old warehouse and practiced alll the stunts before actually filming it for real.
Personally I'm not a big Tony Jaa fan. I'm probably biased because I'm not too familiar with Muay Thai. It seemed like every single move Tony made in Ong Bak was somehow purposely designed to use his elbow or knee. I know that knees and elbows are Muay Thai specialities. But some of the action sequences didn't seem 'realistic' in that why would you throw an elbow when you are obviously in punching distance? Somehow I prefer Yuen Woo-ping style of choreography better. The moves are more intricate and real and are actually a blessing to watch in slow motion. By the same token, although I love Bruce Lee as a fighter, the fight sequences in his movies I actually find boring exactly because of his simple style of fight choreography.
Nonetheless, Tony Jaa is exciting to watch, especially for his youth, strength and flexibility. Jet, Jackie and Donnie are really getting up there. Lesser known is Wu Jing, a wushu champion out of China, a la Jet Li. He has focused his career mainly in China. But for those who have seen SPL, he is definitely a treat to watch too.