Not specifically NYC, but anything that shows the seedy sides of cities, particularly the nightlife or just underground cultures/activities. Think Taxi Driver, Maniac, Cruising, Irreversible, stuff where the urban environment almost feels malevolent.
shareBoogie Nights?
shareVinyl, the TV-show.
Underground rock shows with New York Dolls and stuff like that.
I didn't really fall for it, seems like many were a bit disappointed by the script. But the atmosphere is still good.
I would also say The Wire gives me a similar vibe.
Maybe also the old Hill Street Blues, cop show.
I know, those are more crime than culture, but I think the vibes are similar.
A more culture-related show could be How to make it in America. It's an uncertain recommendation cause I watched more than a few episodes myself, but I heard others recommending it.