I'm sure many of these have been name before but...
Just Woody Allen and Martin Scorsese:
Manhattan (so obvious but got to start with it
)
Annie Hall
Hannah and Her Sisters
The Purple Rose of Cairo (the fictional half, that is)
Crimes and Misdemeanors
Stardust Memories (the beginning)
Everybody Says I Love You
Curse of the Jade Scorpion
Anything Else
Bananas
Melinda/Melinda
Mighty Aphrodite
Mean Streets
Taxi Driver
Raging Bull
The King of Comedy
The Color of Money
Goodfellas
The Age of Innocence
Gangs of New York
Moving on from just Allen and Scorsese (I know I had to have forgotten a few for each)
His Girl Friday
It Happened One Night
King Kong (all versions)
Swing Time
The Women (either version)
Laura
On the Waterfront
Breakfast at Tiffany's
Wait Until Dark
Midnight Cowboy
Marathon Man
The Godfather
The Godfather Part II
The Conversation
The French Connection
All That Jazz
The Great Gatsby
Network
Death Wish (I'm going to assume all of them)
The Out-of-Towners
The Lords of Flatbush
Dog Day Afternoon
Saturday Night Fever
Arthur
Night Shift
Trading Places
The Natural
Splash
Ghostbusters
Wall Street
Home Alone 2
Newsies
Léon
Die Hard 3
When Harry Met Sally
Sleepless in Seattle
You've Got Mail
Autumn in New York
Spider-Man
Spider-Man 2
Spider-Man 3
The Amazing Spider-Man
X-Men
American Psycho
Kick-Ass
Watchmen
Hamlet set in the 2000s
Big Daddy
Mr. Deeds
Zoolander
Vanilla Sky
Wanderlust
New York, I Love You
The Smurfs
The Dictator
Enchanted
Wooh. That was a painful memory exercise. Now I am going to go do something related to New York. Have no idea why.