Sesame Street is set in New York.
Big Bird is played by Carroll Spinney (though there is a new guy who now does Big Bird some of the time, but his name escapes me at the moment). Yes, Carroll Spinney is inside the Big Bird Costume.
You can tape some past episodes off the cable channel Noggin (they air old episodes under the title 123 Sesame Street). There are a ton of videos available that feature sketches and cartoons from old episodes as well-- try just about any toy or video store.
If you are interested in learning more about Sesame Street, I recommend the book Sesame Street Unpaved and the A&E Biography video on Sesame Street (available from the Biography web site, I believe that is biography.com).
Hope that helps.