Here is a nice article in the Times about rye from a few years ago:

http://www.nytimes.com/2006/11/29/di...pagewanted=all

I've found that the bigger neighborhood liquor stores have good selections. For example, my neighborhood store, Mr. Wright Fine Wine and Spirits on 3rd Ave between 89 and 90 Sts, has a nice selection of whiskies. I bet the Trader Joe's wine/liquor shop near Union Square also has some nice bottles, though I've never been in there and don't know for sure if they only sell wine.

FYI, here is Mr Wright's current stock of ryes.