Manhattan used to have a bunch of stores that were Authorized SureFire dealers. But nearly all of them got caught discounting. Big No-no. All lost their A.D. status. Practically all of them became Authorized Dealers for Inova instead. (A few years before Inova was acquired by Nite-Ize.) Nearly all of them went out of business too. 1990s and early 2000s was the best time to buy lights at B&M stores.
There's Paragon Sporting Goods on 14th street. Used to go there all the time about a decade ago. Still there. One of the very few SureFire Authorized Dealers that never discounted. So, still have their A.D. status. Very good selection too. Also, for custom knives, as well as production knives. Lots of high-end, and very expensive outdoor gear. If you want it, and you're willing to pay; no need to order online and wait. Just go there and buy it, the horribly Old-Fashioned way.
But I got bored with Manhattan quite a few years back. So haven't been there in years. Yes, if you're a tourist, it's awesome and overwhelming! If you've lived here since 1979, it gets boring after a handful of decades.
Ironically, Home Depot has a good selection of lights right now.
Another vote for REI. There's one close to my home. Short drive away. Good for walking in and buying also very expensive outdoor gear, and a handful of Fenix models. Along with numerous headlamps.