The only one that I have been to is Brew Brothers by Kedco out in Farmingdale, Long Island. They had a pretty decent selection of stuff. They had bulk grain and they take special orders for bags of grain. Not sure how they handle shipping, though. I end up buying most of my stuff online.
there is "Hydroponics and Homebrew too" out in queens. I havent been but I hear the brewing supplies are in one corner of the store, its good if you need something in a pinch but you might not find, or have to substitute some of your ingredients.
I usually mail order either from northern brewer and get yeast from diybrewing.com (standard shipping gets to me the next day)