I'm a little late posting this, but my colleague and pal Christina Amoroso and I did a roundup of sites around the city where famous holiday movies were shot.
I wrote about "Elf" and "Miracle on 34th Street" (the original -- certainly not the remake!)
I also wrote a sidebar about a few more movies with an NYC/holiday setting (or at least partly): Trading Places, Gremlins, Scrooged and It's a Wonderful Life.
Of course, It's a Wonderful Life did not take place in NYC. It took place in (the fictional) Bedford Falls. But BF was supposedly based on Seneca Falls -- a 5 hour drive from the city. While that ain't close, they take it seriously enough so that I sort of felt like I should include them. (An "It's a Wonderful Life" museum and a Hotel Clarence, named after the Henry Travers character in the movie.)