My two regular sweetbread fixes:

Prune (1st Ave and 1st St, Manhattan), where they're battered and fried and then covered with a butter-lemon-caper-bacon treatment. You can't go wrong.

Kabab Cafe in Astoria, Queens (25-12 Steinway St), where Ali does a much lighter treatment, a bit lemony. And the rest of his menu is great as well.