Yankees game for sure - last year for Yankee Stadium.
Avenue Q on Broadway is one of the funniest shows I have ever seen.
When you go to Brooklyn, go to a place called Grimmaldi's Pizza - it is a 5 minute walk from the Bridge, and it is literally the best pizza in NYC - go around 11am, the lineup gets LONG.
Check out the museums - Met, Natural history, Guggenheim, etc. - My recommendation is that you purchase the City Pass - if you have (or know anyone with) an AMA membership, you can get it for less money up here, and it gets you into all the museums, up the Empire State Building, and either a 2hr cruise around Manhattan or a trip to the Statue of Liberty (I would recommend the cruise). Other piece of advice is that you should make sure you have the actual tickets before you go to the Empire State Building - you get to skip literally 75% of the lineup that way.
If you're interested in money, you can MAYBE still apply for a tour at the Federal Reserve Bank - that was really cool.
Shopping is great in NYC - my girlfriend had a blast at a store called Century 21 - but be warned, imagine boxing day crowds, but EVERY DAY there. Chinatown is great to check out, and you can get some good, cheap food there too.
Cool restaurants to check out if you get the chance and can somehow manage to get reservations: Gordon Ramsay @ the London (Crazy Expensive!) and the other one I really liked is called Tao.
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