You cannot visit the city of Brotherly Love with paying homage to one of it's greatest sons (albeit, a fictional one), Rocky. One of the most famous scenes in the original movie is of Rocky's crazy training regimen in which he runs up the steps of the Philadelphia Museum of Art.
The statue is to the right of the museum entrance (and below the steps-at street level). You will find it when you find the large line of folks waiting to take their photo with it. Go ahead, have fun with it and strike a pose.....And if your really inspired, test your metal and try to run up those steps. See if you've got what it takes to be a champ!