I second Sephora.
I always buy perfume rollerballs there as I hardly ever find them here but Sephora and lots of the main fragrances do them over there. Fragrances in general seem to be cheaper.
You can look on the Sephora website before you go to compare prices. Kiehls, OPI, Mac, Nars, Benefit, Clinique and Bobbi Brown are cheaper, but I never think its by that much. I like buying brands you can't/struggle get in the UK like Tarte, Kate Somerville and Make Up Forever.
I love going to Duane Reade in Ny or Walgreens, both are 'drugstores' but as a beauty junky they make me happy.
Everyone seems to buy Uggs, Converse and Nike when they go. They're not something I'm into so can't say how much cheaper it is. If you have teens who like trainers though, its good for getting them special designs.
Kate Spade, Ralph Lauren, Calvin Klein, Victoria Secret, DVF, American Apparel, Hollister and just generally American brands are all cheaper, although I wouldn't say anything is 'cheap'. Just look on websites before you go.