Go to TKTS in Times Square (there is another location, but definitely iright off of times square) and get tickets for a broadway show -- HALF price for THAT EVENING! You wait in line in the afternoon and come back to broadway in the evening.
The address of TKTS is 220 W. 46th Street. (Broadway and 46th Street). I think that location opens at 3:00 p.m., so you'll want to get there around 3 or a bit beforehand for the best choices.
They ONLY take cash and traveler's checks.
http://www.entertainment-link.com/tkts.asp has a list of the current shows and the discounts for them.
My recommendations: Avenue Q, Chicago, Hairspray, Spamalot, The Drowsy Chaperone (Al said "the drowsy chaperone" was hysterical).