Pretty much what Nibi said: Virgin Megastore's good for a browse, and Nintendo World Store (technically in Rockefeller Center, not Times Square) is good for a visit. Ninty World might also interest you if you're looking for collectables (or a Wii).
The Times Square Toys R Us might be worth a look as well, depending on what's on sale/clearance at the time.
There are some independent DVD stores just west of Times Square on 8th Avenue. Most of them mainly deal in pr0n, but there's one I know of (on 46th and 8th) that has a good selection of movies, TV shows, etc., and the prices are fairly decent. I do remember them having some anime DVDs on sale last time I was there. Haven't been there in awhile, though.
If you don't mind buying used, there's a fantastic store called Book-Off on 41st Street (from Times Square: walk east on 42nd until you get to 5th, then make a right, then a left on 41st). They sell plenty of used American and Japanese books, DVDs, and CDs. A big plus about this store is that they only take stuff that's in PRISTINE condition, so you don't have to worry so much about scratches and the like.
If you walk north up 5th Ave., there's a Best Buy. As with TRU, YMMV.
That's all I can think of at the moment...