I'm actually in the middle of a re-watch as we speak, just gotten up to Pine Barrens (another case of IYKYK)
NY - Trenton runs underneath the Jersey Turnpike between Newark and Secaucus. It's where the intro was filmed. Looks a lot cleaner in the game I must say
My favourite (of the earlier seasons at least) is probably S3E01 (Mr Ruggerio's Neighbourhood) which is based around the FBI trying to plant the wiretap bug in his basement (and the subsequent water heater failure). Pine Barrens is definitely up there though (you can defintely tell Steve Buscemi leveraged his experience with Fargo when directing it)