The costumes were designed by John A. Dunn and crafted by Martin Greenfield using the Fashion Institute of Technology's 1920s tailoring books as their main source of inspiration. (Yay for vintage inspirations!) A few pieces are rented from a vintage shop in Albany, NY (Daybreak Vintage Company).
In an interview with Esquire magazine (Sept 2010) costume designer John A. Dunn is quoted "I developed the feel for each of the characters. We all wanted it to be very, very accurate and specific to the period. So, I limited myself to the fabrics of 1920."
Credits: Costume design information from Boardwalk Empire Wiki. Read more on John A Dunn's interview with Esquire Here.
Image Credits: Behind the Scenes of Boardwalk Empire, Men's Fashion on Esquire.com, Boardwalk Empire on IMDB.com