Mad Men is set in 1960's New York.
Don Draper drinks in The Prince's red leather booths in episode 1x02 "Ladies Room".
Source: I Am Not a Stalker
From episode 1x06 "Babylon".
Sterling Cooper employees go out to celebrate after work in episode 1x08 "The Hobo Code".
Don and Joy stay at this house in their time in Palm Springs in episode 2x11 "The Jet Set".
From episode 3x03 "My Old Kentucky Home".
From episode 3x08 "Souvenir".
From episode 3x12 "The Grown-Ups".
Don Draper joins his kids for a swim while in California in episode 4x13 "Tomorrowland".
Megan and Don eat at the diner in the Plattsburg, NY Howard Johnson in episode 5x06 "Far Away Places".
From episode 6x01 "The Doorway, Part 1".
Don is impressed with Megan for how she handles Sally spilled milkshake in episode 4x13 "Tomorrowland".
Office scenes are filmed in Los Angeles Center Studios.
Roger remembers taking Don to lunch in a flashback of how Don Draper got into advertising.
This Pasadena home is used for the Draper's house in Ossining, New York
Don and Betty talk to Jim Hobart during the intermission of Fiorello! in episode 1x09 "Shoot".