This question already has an answer here:
I've always been confused about this:
Ich gehe zur Haltestelle Einsteinstraße.
Ich gehe in die Bank.
Is there a rule on when to use zu/in with gehen?
As the answers in the similar question linked in Em1's comment indicate correctly, the meaning differs:
In is used to indicate that you actually enter some place/building instead of just walking to the location and stopping outside (for example to wait there for someone).
I probably intend to see a film there.
There are several bars and a café there, I'll be there but probably won't enter before you arrive there too.
As always, there are exceptions, especially with regard to idiomatic expressions. For example, to ask a kid where it attends school, both versions are in use (usage varies among regions):
Note that none of these ask for the way to school, it's just about which school the child attends.
So, to come back to your examples:
You usually wouldn't use in with bus stop because there isn't any building to enter. You may use both with the bank, depending on what you wish to express - in if you want to stress the fact that you enter the building, zur if you just go there without entering (e.g. to withdraw money from an ATM accessible from outside).