Happened to see one overhead today, chasing a flock of pigeons. Flocks of pigeons around here are usually domesticated, but the owners fly them are least once daily. Easy prey, and delicious.
I usually see them (and rarely) during migration - like now. A good number of them nest on office towers in NYC, but I've never seen them there. They like cliffs and beaches. Skyscrapers are cliffs.
From All About Birds, Peregrine Falcon