white_dragon did the Sopranos tour when I was in New York (5 years ago now).
You went to Barone Sanitation, the diner where Chris was shot (shut down now), Pizzaland, The Muffler Man and other sites from the opening credits. Then visit the spot where Big Pussy spoke with the FBI, stop at Father Phil’s Parish and go to the restaurant booth where Tony sat in the final scene of the series.
And finally go to Bada Bing which actually is or was (I think it got closed down due to Mafia connections since our visit) a seedy strip joint. Not much you can do with a pair of 40dd's wafting in yer face when the wife is sat next to you.