I think the Count's castle is actually supposed to be on the street. When Big Bird and Snuffy had a race, they said that they were to go past the Count's castle. Also, the Count makes references to "Old Transylvania" when he's in his castle and he once said that when he lived in Transylvania, they played baseball with real bats. So, I think his current castle is supposed to be right there on the street (a highly unlikely scenario in real life, I know).
According to one Sesame Street storybook, Mumford's castle is right next door to the Count's castle (that's why he stole the Count's thunder), but I don't think that was ever mentioned on the show.
Isn't Snuffy's cave supposed to be on the street too? I don't know about Baby Bear or Sherlock.
A handful of characters that definitely didn't live on the street were those from Around The Corner because they were, well, around the corner. LOL