"I kept thinking 'This is pointless. How can we possibly afford a boardwalk, or an empire?' We can't call it 'Boardwalk Empire' and not see a boardwalk," Terrence Winter who wrote the pilot for HBO's upcoming Boardwalk Empire.
So they built a 300 foot boardwalk in an empty lot in Brooklyn. In the end, even with the New York tax credits the cost of the pilot came to $18 million according to Variety, but by the time they amortized that expense over all 12 episodes of the first season, costs came out to about $5 million an episode. Hour long dramas on broadcast networks typically come in closer to $3 million. But Variety says the $5 million isn't much more than HBO's other top-tier series (sadly no data to really back that up, though compared to The Pacific, Boardwalk Empire likely seemed inexpensive to HBO).
The Wall Street Journal did a similar article a couple of weeks ago focusing on the expense for Boardwalk Empire other HBO shows and shows on other cable networks. The WSJ piece set the cost of the Boardwalk Empire pilot at between nearly $20 million to closer to $30 million. The piece also notes Boardwalk Empire was HBO's best-selling series ever internationally having already licensed the rights to 160 countries.