For Mexican baked goods (like conchas) I highly recommend a place called "international bakery" in Queens just east of Astoria, a couple blocks east of the 46th R subway station, on Broadway & Newtown Rd. They have a small selection but everything I've tasted from there has been fresh and truly good. Sometimes they have tamales too. It's a low-end/hole-in-the-wall type place.

Then if you're in that area, it's worth walking about 10mins north to Gian Piero Bakery for great Italian-American cookies. Don't be turned off by all the Italian branding and wanting something unique. It's quite a regional cultural thing. There are also great deli sandwiches elsewhere on that block.

Then if you want to continue the bakery binge, walk another 10mins north to Al-Sham Sweets for Middle Eastern desserts. I highly recommend slices of the larger tray desserts vs the small pay-by-weight pieces. That one isn't distinctively NYC but it's really good, among of the best you can get on this side of the world.

Hope that didn't go too off-track, one thing leads to another and a unique NYC benefit is having all of this in proximity at your fingertips.