I'm going to New York next month (as well as Toronto) and there're a number of stores in Asian shopping malls, most don't have web sites, but they do accept mail order so I'll provide the info once I'm there.
As far as New York, 2 places to check out:
http://www.jnlgame.com
I know the prices are high, but there're few good deals such as Kabuki Klash ($225), Magical Drop 3 ($275), and Shock Troopers 2 ($275).
The other 2 stores in the Elizabeth Center are Penguine Village and The Game Shop, they're actually one entity. The Game Shop has new release game, so they'll have KOF 2000 during release (I got brand new Metal Slug X last year for $190), here's the info for Game Shop:
The Game Shop
Elizabeth Center, Unit #25
New York, NY 10013
1-212-431-9638
Around Chinatown, there're 2 other sotes, one right on Canale St, 2nd floor near McDonald, and the other one at northern end of Chinatown on Grand St. If you go to Chinatown, what you want to get is hardcase Neo-Geo Pocket games, they're still selling at reasonable prices.
Near East Village in Manhattan, you must go to this store on 9th St:
http://www.multimedia1.com
One of the members in my TurboGrafx club works at this store, his name is Greg Wilcox. The store has everything from Game and Watch to newest system like PS2.
As far as Game Express (right in front of Madison Square Garden), forget it, unless you visit the store in person, trying to mail order from them is a big hassle, after all they only have few games in stock, all common ones.
If anyone knows any cool stores (those selling Neo-Geo home carts) in Flushing, please let me know.
Vince