I don't know for sure, but it seems that much Novo-Nordisk insulin (Novolog, Levemir) comes from their plant in Denmark (outskirts of Copenhagen).
Eli Lilly's (Humalog, Humulin) main insulin facilities seem to be in Indianapolis, and recently (10/2012) announced their first expansion in 20 years.
Sanofi-Aventis (Lantus, Apidra) has insulin plants in Germany (Frankfurt), and Russia (perhaps for local consumption ?)
Wockhardt, in the UK, makes both cow and pig insulin as well as rDNA origin human insulin. They also have plants in India.
There are plants in Asia as well... China recently started manufacture of rDNA humam insulin.
The good news is that the big three are geographically distributed so one disaster woudn't take out all the world's insulin supply. The question is how short things might become if a major plant were lost and whether the remaining world suppliers could keep up with the demand.