Compleat Strategist East 33rd street and 5th avenue (across the street from the Empire State Building)
http://www.thecompleatstrategist.com/
Tons of minis, including some obscure
OOP stuff. Always one of my stops when I'm in town.
There's also a
GW store on 8th street a block off of Broadway, some good folks there.
Maplewood Hobbies is about a half hour to hour drive outside the city in Jersey and is also pretty cool. I've not been by in ages though.
As always check out store finder for more info.
http://www.dakkadakka.com/core/store_finder.jsp