Sopranos filming location - Outdoor cafe
In real life, this location is known as: Silvercup Studios rooftop.
It appears in the following episode: 4x01
This location I am not 100% sure of, but it makes sense to me:
The last pillar of the Queensboro Bridge can be seen from a distance. Furthermore, there's a building on the left side which is at 12th Street, one building off of 43rd Ave, so the scene must be shot at at least 13th Street between 43rd Ave and Queens Plaza South. The Silvercup Studios matches that description, so this is very likely.