OK, not much to see from the street, but don't be fooled - on the other side of those stacked crates is a 300-foot recreation of Atlantic City's famous boardwalk, as seen from Google's satellite view image of the area:
According to my friend, for quite a while, the set was plainly visible from the street as it was being built. In fact, the Google Streetview car drove down Commercial Street during the construction:
Another pic courtesy of Google... Note the building below...
...and in the background of this still from the show:
Sadly, today, the set is obstructed by a 40-foot stack of crates... but the crates are not in place simply to block prying eyes. If you look through the parking lot next door, you can see the rear of the set...
...and the enormous blue screen wall covering the entire inner side of the crates:
In other words, when they do a shot like this...
...everything from about 10 feet into the sand over is a bluescreened wall of crates.
Wish I could give you a full detailed tour of the set (ahem, HBO? Free bit of publicity!), but it was locked up and deserted when I stopped by. Oh well - enjoy this time lapse video of the set being built:
PS - Why was this shot in NYC and not, say, New Jersey? New York's ultra competitive tax incentive, which helped employ hundreds of New Yorkers over the course of the series' first season.