oyster bar at grand central brings in sea urchin by the case when they can.
probably the cheapest i have seen in a restaurant. beware they are small but very fresh.
for store purchases, i have never had luck buying sea urchin in nyc. the japanese grocery stores below sound like logical choices.
The best place to have uni in a restaurant - Soto! It is more fusion though. So if you do want traditional preparation, 15 East usually has uni from Japan or in shell and can prepare it any style you want - fresh in shell, on rice in a cup, blow-torched, etc.
To buy uni, the best is to go to Mitsuwa in NJ. While both Sunrise Mart and Katagiri have uni in box, the quality varies greatly from shipment to shipment.