We went to NY 2 years ago, and it was the best vacation I ever took. My wife and I bought this:
http://www.newyorkpass.com/index2.asp and I really recommend it. You save a ton of money on all the tourist stuff, and you get a subway pass. It also gave us a ton of ideas for attractions that I would never have thought of.
Have fun, embrace the subway system, and bring a LOT of money!
Edit: If you have time, go onto the Letterman website and sign up for tickets. They actually called us while we were down there to see the show, but my phone battery died that day. Grrrrr....