At and In.
Don't say: He lives at London (at New York). Say: He lives in London (in New York).
In or Into.
«In» denotes position or rest inside something.
Don't say: He spent all the day into his room. Say: He spent all the day in his room.
«Into» denotes motion or direction towards the inside of something.
Don't say: He came in the room and sat down. Say: He came into the room and sat down.
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