"Mad Men" allegedly takes place in 1960s Manhattan, but as Curbed L.A. points out, the show's locations are almost all right here in L.A.
Those locations range from L.A. landmarks like the Millennium Biltmore hotel and the L.A. Athletic Club to homes in Pasadena, San Pedro and elsewhere. They even used a Downey Bob's Big Boy.
Some of the other "Mad Men" secret L.A. locations: Casey's Irish Pub, the Cicada Restaurant, the Music Center, Clifton's Brookdale, the Monrovia Bakery, Koreatown's HMS Bounty, the Quality Cafe, and Broadway's Los Angeles Theatre. The show's sound stages are at the Los Angeles Center Studios.
I apologize for ruining the magic, if Jon Hamm playing the jerky boyfriend in "Bridesmaids" and being the best addition to the pantheon of "Saturday Night Live" hosts in recent years hasn't already done that.
Be sure to check out Curbed L.A. for a point-by-point map. Unless you want to retain your remaining "Mad Men" suspension of disbelief. In which case, don't watch "Sucker Punch." You don't want to see what Jon Hamm does in that. (And, you probably shouldn't watch "Sucker Punch" anyway. Ever.)