For shoes Edon Manor in Tribeca is the best. They have hard to find Alaia and Givenchy must-have's but also less expensive finds like Kat Maconie. I go to the nail salon next door and can't resist a pop-in when I'm near by. They also stock different styles of Fogal tights (the BEST) and cool sunglasses.
For eye glasses I adore Facial Index in Soho. It's a Japanese brand (say "quality") that hand carves plastic frames. They do all kinds of funky frames and they did my prescription in 24 hours! That's faster than a New York Minute!
For Lingerie (and this is my area of expertise) there is really only one...the luxurious, decadent, gorgeous, and sexy Kiki de Montparnasse. It's been a slight addiction ever since I stepped foot in the dark and mysterious Soho store 4 years ago. It's crazy expensive but I look out for the bi-annual sales where I try to "clean up." They also ran a sale on Gilt some time ago which was better than Christmas.