Columbia, NYU, Harvard, Yale, etc...
NYU or Columbia.
New York is a major market so if you're top 33% or so at any T14 school you'll at least have a shot at all the major NY firms, but your life will be a lot easier if you go to school in NY if you're looking at that market. Setting up interviews and such is just more complicated when you attend school across the country.
Most firms won't care about ties to the city/area (for New York only - pretty much everywhere else it's extremely important) but that's definitely a bonus for the firms that do care.