There's one episode, from Season 3 I think, that takes place in a redress of Stalag 13 (Hogan's Heroes). Talk about taking you out of the story! In this case, that wasn't so bad. This was one of the few earlier episodes that pretty much stunk.
If you're talking about season 2's "Trial by Fury" with Paul Winfield, I consider that one of the series' finest episodes, a tense, gripping departure from the usual, bland formula of the team's plans playing out like clockwork. (My blog review.) I don't know if there was a season 3 episode shot there too.
The "Stalag 13" location was built on Desilu's (formerly RKO's) Forty Acres backlot in Culver City, where M:I and Star Trek did abundant location filming. Andy Griffith's Mayberry was also there, and served as street locations in many M:I and ST episodes (there's a shot in "City on the Edge of Forever" where you can actually see the "Floyd's Barber Shop" sign in a window behind Kirk and Edith Keeler). The "Arab village" portion of the backlot was also seen often in both shows, for instance serving as Organia in "Errand of Mercy." More info on the backlot:
http://www.retroweb.com/40acres.html
Stalag 13 was built on the same part of the backlot formerly occupied by the Tara exteriors from Gone With the Wind.
I'm pretty sure that "Mr. Leslie" appears in the series pilot; he's in one of the hotel vault scenes.
That's right, he was there too, and maybe one other time in the first season.