1. Some of HP Lovecraft's stories dealt with a huge subterranean cavern under Red Hook where cultists and the monsters they worshipped hung out. Don't really know if this'd qualify for you since it's print, not film, but meh, thought I'd throw it in.
2. Q: The Winged Serpent. Awesome early 80s flick about a resurrected Aztec god munching down on NYC.
3. V (the original series). Not sure how you'd show this; maybe just one of the saucer ships?
4. Mimic, from Guillermo Del Toro. Giant humanoid-looking bugs. Good movie.
5. Mulberry Street. Giant mutant rats attack and bite New Yorkers and turn them into giant mutant rats.
6. Friday the Thirteenth VIII: Jason Takes Manhattan.