Just off the top of my head:
The "Men In Black" series (MiB is headquartered in NYC)
The finale in all three versions of "King Kong" end in New York.
Friday the 13th Part VIII: Jason Takes Manhattan
All of the Spider-Man films
Die Hard With a Vengeance
Both Ghostbusters films
...and I just read in the paper yesterday that "Sharknado 2" is currently being filmed in New York City!! Woohoo!