Actually National Console Support is based in NY but I believe they won't let you just go in and purchase a game. You still need it to be delivered. The only import-friendly shop I can think of is one on St. Marks Place, I forget the name of it now but you can't miss it. It's near Kims Video.
Also the comicshop Forbidden Planet imports some games. I actually just bought a used copy of Jump Superstars (an import) for $30 bucks from there. Good luck getting Osu Tatakae Ouendan, that's on my list too.