It's not IN New York, but it is five miles or less from the city, and besides, not being in the city means you don't have to pay an arm and a leg for lodging.
There was one i heard about last year... "big apple anime fest" or something along those lines; however it didn't look too appealing to me. Most of the showings (which were declaired months ahead of time) were for series that were a) already american mainstream, b) hardly considered to be anime, or c) hentai. It was also, if my info is correct in my mind, spread out over something like a few blocks with many events occuring in different buildings.