My suggestions:
If you are a hostel kind of person, there is the Big Apple Hostel. It was cheap and within walking distance to Times Square, MSG, the Broadway shows, 5th Ave, St Patrick's Cathedral, etc.
For tv shows, try Conan. When I went we had "tickets" (they don't guarantee a seat, they just give you a higher priority) but they do standby sameday as well, plus it is done taping early enough that you can still fit in a show or something after. (Also, bonus for me was that we got to meet John Kraskinski (Jim from "The Office") outside the studio after the taping!)
Go to a Ranger's game and sit in the cheap seats. I was there on Halloween so we went as "Flames fans dressed as Habs fans" and cheered our faces off for Montreal. Tons of fun and great fans from both teams up there.
Get off the subway by ground zero and do the walk from there to Battery Park. Waste an afternoon in Central Park. Go to FAO Schwartz and play the giant keyboard.
I did a TON of stuff there and I still feel like I need another month to see everything I missed.
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