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Try to see a broadway show if you are even remotely into that sort of thing. The first time I went to NYC I saw Lion King and was a tad skeptical because I'm not a big theater guy, but it was an incredible experience, and I try to go see a different one every time I go now. Since it's kind of last minute you can always try the box office in Times Square for tickets, although there's usually a decent line there. There's also things like Ellis Island or the Staten Island Ferry if you feel like going out on the water in the middle of winter!