As a former New Yorker, I think the prices of NYC headshops are ridiculously high.

Still, if you want to pick up something, I'd try the West Village (the West 4th stop on the subway). There are many little headshops all around Washington Square Park -- you're bound to find something you like.

I'd also recommend haggling. These guys know there are a number of competitors doors away and will cut their prices a bit to make a sale.

Good luck.