A few Woody Allen films which I like are set in New York, I suppose. For example, Manhattan and Manhattan Murder Mystery. I have a story about the latter. I don’t remember all the details but a crew came up to my apartment at the time and was considering using it for the film. Ultimately, they chose a different building and apartment, but just the thought makes me feel like a celebrity!
Also, I believe A Bronx Tale, starring and directed by Robert De Niro, is set in, well, The Bronx. And several Martin Scorsese films were filmed in New York.