Edit: These are mostly not brick and mortar stores, but holiday shopping "pop-up" events around the city. I misinterpreted the thread, but I'll let these stand. Any way, these are places around the city that I've enjoyed holiday shopping over the years.
The Argosy Book Store in Manhattan
Holiday Shops at Bryant Park
Holiday market at Grand Central
Union Square holiday market
Winter Flea + Holiday Market (Brooklyn Flea)