Going to NYC from the outback of Oregon.

I will be in NY City for 4 days over Christmas. 
Are there any good places to buy vinyl? Preferences are Jazz, Bluegrass, Rock and Soul. 
Any good audio stores?

HiFi stores are a different animal. You can look at some older posts on the same topic to see for yourself. Stereo Exchange in noho has been around a long time. Most other places are by appt only. I read about some fancy place World of McIntosh that opened recently also by appt only. 

Have fun in NYC
Other Music on W4th and Broadway is my primary choice. All used records are carefully selected with most like new or Near Mint.
For high-end store the best place is AudioConnection in Verona NJ.
Rent car, drive there and you'll save money rather than going Stereo Exchange or other NYC based dealers. John Rutan is the best person to deal with in whole NY area. Another interesting store is Toys From The Attic in White Plains. They mostly sell musical instruments, but also lots of cool vintage speakers, radios, receivers and older high-end such as McIntosh, Fisher, Marantz.

I agree with czar about visiting AudioConnection, Rutan knows his gear and Nick is the vinyl king. There is also AudioDoctor who shows out of his townhouse in Jersey City which would be sort of on the way back from Verona to Manhattan. He has a ton of gear to show just be careful parking make sure you check the signs.
Agree with Audio Connection as one of the finest shops in the NY metro area. John and Nick are fabulous and I've purchased more stuff from AC than any other dealership. But everything depends on what the customer is looking for. When in NYC, one should also check the brands carried by Stereo Exchange, Ears Nova, Lyric HiFi, Sound By Singer, Innovative Audio/Video, In Living Stereo, Audioarts, High Water Sound and others. In short, it's probably one of the best places in the country to demo and/or purchase high end audio equipment. 
Academy Records, 18th St & 5th Ave.
Rock, Jazz, Classical, Blues, Soul... Google them first.
Great advise! I will definitely try to hit most of the places mentioned.
Has the Audio Pimp (Johnny) resurfaced? I know he may have had some legal issues. I was hoping to visit his store someday.
Again, thanks for the pointers and have a great Christmas.