Penzeys has good rubs, but they dont have a location in NYC as it closed. They have one roughly 30 minutes away (west nyack or in NJ) if you have access to a car. They do ship for free over $30 and always throw in something for free - also look for coupon codes for free items.
While, there are a lot of spice shops in NYC, a lot of them specialize in certain types (african, middle eastern, etc)...
Sullivan street tea and spice is suppose to be a good replacement for Penzeys
http://www.onsullivan.com
Address:
208 Sullivan Street
New York, NY 10012
http://www.penzeys.com/cgi-bin/penzeys/penzeysstores.html?id=fTqH6Xdd
Here is another, little pricey but supposed to be good and have a location in Grand Centra Market (replaced penzeys).
They have a lot of specific bbq rubs on their site, not sure about the store.
http://www.kalustyans.com
123 Lexington Ave
New York, NY 10016
A few more
Manhattan Fruit Exchange in the Chelsea Market
75 Ninth Avenue New York (b/w 15 & 16), NY 10011
Brooklyn Kitchen
100 Frost Street, Brooklyn, NY 11211
Also, Canal street (chinatown) will have a few places.