Diana Rigg as Mrs "Lemon" Peel
I bought the Avengers DVD collection called "The complete Emma Peel Megaset." It's a 16-disk collection that contains every episode with the lovely Mrs Peel. The episode in which Steed tickles her bare foot with a feather is called "The Fear Merchants" from 1967, the first year the series aired in color. However this is very brief, like maybe a second at the most. She doesn't laugh but rather grimaces somewhat, pulling her foot away. It's not worth a lot of effort to track down.
Another episode that M/F enthusiests might find more palatible would be "How To Succeed At Murder" from the 1966 season, in black in white. In this episode, a bunch of women are planning and executing murders, a la In Like Flint. In one scene two of the women attack Steed. He quickly dispatches the one and takes the other (very attractive blonde) across his knees like one would prepare to spank a child. Instead he tickles her sides with both hands, saying that she is now going to tell him all he wants to know. About 4-5 seconds of tickling before the scene cuts.