The Washington Post takes a stroll through Manhattan, circa the Mad Men era.
Sterling Cooper, as every fan with a pause button knows, is at 405 Madison Ave., an address that...does not exist. If it did exist, it would be where a bank of Chase ATMs is now, not the ideal spot to spend the morning, but don't worry, soon it will be 11:30 and time for your first cocktail.
One place the article doesn't mention is Lutèce, the fancy French place frequented by the bigwigs in the show. It closed in 2004. (thx, jake)