In addition to the others mentioned (Kim's, etc), I would recommend:

Other Music 15 E. 4th  http://www.othermusic.com

Etherea 66 Avenue A

Rebel, Rebel 319 Bleecker

Norman's 67 Cooper Square (by St. Mark's) Don't forget to dig through the basement!

And the one in Soho someone mentioned is another recommendation:

Rocks in Your Head  157 Prince Street

You should give a look on http://newyork.citysearch.com for more stores, hours, maps, etc.

Happy hunting in our fair city!

Lola