My favorite Christmas movie ever is A Christmas Story (fra-gee-lay!) but my favorite New York Christmas movie ever is easily Metropolitan.
Whit Stillman's 1990 classic centers on a collegiate shlub from the upper west side named Tom Townsend who befriends some very rich and annoying upper east side debutantes during Christmas time. Drawn into their social circle, Tom quickly becomes the object of affection to the sweet and innocent Audrey. Their potential romance is complicated by Tom's ex-girlfriend, the infamous Serena Slocum who is still hovering around Tom, Nick Smith (snob extrodinaire who becomes a kind of mentor to Tom), and the odious Rick von Slonecker. Add to this a preppy named Charlie who also loves Audrey and it all becomes a hilarious and timeless comedy of manners.
Oh, and New York in winter has never looked more realistically beautiful.
Metropolitan probably isn't for anyone (parts of it are quite stagy) but if you love Christmas in New York and funny intelligent dialogue, you'll love it. It's a very sweet movie that makes you smile at the end. Plus, it's got the great Chris Eigeman in his first big role.
There is one thing about this movie that is very dated: up until the late, early 1990s, the class/economic schism between the rich upper east side and the middle class upper west side was still very real (believe me, I lived during it). No more. Today the upper west side is as wealthy and snobby as the upper east side - if not more so.