I believe they are available at Bubba Gump Shrimp Co, Times Square. I haven't been there but they are probably good--they have to please tourists from the Gulf coast who know from shrimp.
actually i would also have to reccomend outback as well.... coconut shrimp are a favorite of mine since i lived in miami and outback actually does a good job. The coffee shop also has pretty decent coconut shrimp.