Definitely the Rockettes Christmas Show. I wouldn't miss it if I were there.
Go ice skating outside, its really fun. FAO schwartz is kinda awesome, so hit that. It will be a complete zoo.
Go see some live music. There are great bands playing every single night in NYC.
yes and yes on the first 2. i hdan't really thought about live music. is there a good music guide you know of? city is too big..overwhelming to find something that gives you just music events.