Will also give a mention to Woodbury Common.
HUGE outlet shopping place. All the big names, Nike, sony, ralph lauren, timberland etc etc.
Can be very very busy dependant on what sales are on, any local holidays etc. but some superb bargins can be had there. about 1 hour north of new york but interstate roads all the way.
Also if in Macy's just ask for a discount card. When i was there in May, it was 20% discount day. I just said that i had lost the card that i had been given and every till operator just said "no problems sir, will take 20% off anyway"
Great great customer service that you know you just wouldn't get here in the uk (" you lost the card - tough luck" would probably be the reply!!!)
Also for cheap gucci versace etc bags and shoes (cough cough

)
go to chinatown and go to carnaby street (i think!) and have a look around. if none about just ask any of the shop owners who will meraculously appear with them from the back of the shop.
enjoy!