I happened across a short video that shows some of the production crew involved in filming a Man vs. Wild episode. Reinforces the fact that this is a tv show filmed on location.

http://bit.ly/ZJDX9

For me the MvW scenes that are most noteworthy are the various cold water sequences -- too heart-stoppingly freezing for me.

P.S. Kudos to the OP for a funny thread title.