Hi there. I live in NYC and have visited plenty of stores. My favorite is Seaport Yarn which is downtown on William Street. It's on the 7th floor and they have a great selection. People are very friendly. There's another small shop on Madison and 37th called the Yarn Connection that is nice.
Knit New York on 14th Street is a good place to go and knit and meet other people. The yarn is beautiful but expensive...