In some New York City based shows like Letterman’s, you can see the Manhattan skyline behind the host and guests. My question is simple: Is that really there–that is, is the studio located many levels up in the building, and is that an actual window behind the performers?
No. It’s a photo.
A model…cool. I remember Johnny Carson’s was a photo, because I saw him mess with it on occasion. 
Now and then, to make a joke about some news story, they have run a cheesy model plane across the “sky” on a wire.
Letterman tapes in the old Ed Sullivan Theater, at 54th and Broadway, at ground level. If not for all the West Side buildings blocking the view, the skyline would be of New Jersey. Also, the show is taped at about 4PM, when NYC is still in sunshine most of the year.
Ever notice that the weather in his set is always clear?
The Late Show With David Letterman is in the Ed Sullivan Theater, which is at ground level. Back when he was with NBC he was at 30 Rockefeller Center, on about the 6th floor, IIRC. SNL and Conan are both at 30 Rock (SNL is on the 8th floor, I think – no idea where Conan is); neither studio has windows. Even if they did, the view isn’t very good unless you go very high (like, 40 floors or more) from there.
Studios that actually do look out on the city: The Today Show looks out on Rockefeller Plaza, as you know if you’ve seen the show. Fox has studios on the ground floor on 6th Ave in the 40’s, and GMA and MTV are in Times Square. CBS’ NFL Today sets up outside the GM Building on 5th Avenue.
But, it should be said, that shows like Good Morning, America and TRL are indeed in Times Square and those “sets” are real.
Crap. Got called away and didn’t preview. I Didn’t mean to step on Elvis’ answer or his blue suede shoes.
I was in the audience for the Late Show on January 10th and can definitely vouchsafe that the view is not real.
Agh! And you made me step on your shoes, **manhattan[/b! Curse you and your “real life” that called you away from the Straight Dope! 