Swedish director Roy Andersson has built some impressive sets for his films, and for his latest work A Pigeon Sat on a Branch Reflecting on Existence — which recently won top prize at the 2014 Venice Film Festival — he built a very realistic-looking beach right on a sound stage:
And here's the trailer of the film with the beach shot at the end:
The set is very impressive, and while they did bring in a lot of sand, the solid structures underneath help sell this effect and probably make the set easier to work on. It may seem obvious when you see it, but the forced perspective, when done right, can convince you of just about anything. The buildings in the background are meticulously constructed and since the camera is at just the right angle (and does not move the entire shot), they feel like they are in the distance rather than being very small.
The lighting is just right, though what also really helps this scene is the slight wind effect. It's almost like our brains immediately flip a switch and we put ourselves outdoors when we see plant life and leaves blowing gently. Lastly (and this works for computer generated effects as well), if you've got things going on in the foreground — in this case the dog moving around — it helps to distract people from looking too closely at the background and finding problems.
For some more impressive sets from the film, and a sense of how Andersson works, here's another BTS clip: