I have nothing but fond memories of the children show Sesame Street, and I know that it's filmed somewhere in New York. Is there a way to visit the actual set? As part of a guided tour would be ideal, but not necessary.
Sesame Street is currently filmed at the Kaufman Astoria Studios in Queens, which does not offer public tours (though the Museum of the Moving Image is open to the public and located on the campus). According to the Sesame Workshop FAQ,
Sesame Street is not filmed in front of a live studio audience and the set is not able to accommodate guests.
There is a Sesame Street theme park called Sesame Place in Langhorne, Pennsylvania, about midway between Philadelphia and New York (near Trenton, New Jersey), owned and operated by Sea World.
Now, that is only for the original American version of Sesame Street. There are many different versions internationally, and some of those filming locations may allow visitors.
Sesame Street is filmed at Kaufman-Astoria Studios in Queens. The studio isn't generally open to the public, so unless you know somebody or are involved in a production I wouldn't count on a tour.
However, I'd highly recommend a trip to the nearby Museum of the Moving Image, which houses a number of Sesame Street artifacts, regular Jim Henson/Muppet film screenings, and later this year, will be opening a new permanent gallery space devoted exclusively to the work of Jim Henson, The Muppets, and Sesame Street.