I don't know much about the vintage shops (was in Brooklyn last winter and there was a cluster of them--pricey but fun--but I don't remember the name of the street they were on, sorry!)
But for some unbelievable eye candy, I can highly recommend the "Chic Couture" exhibit at the museum at FIT (7th ave and 26th)--50 couture gowns from the Chicago Historical Museum collection, with rare and jaw-dropping pieces from Worth, Chanel, Schiaparelli, Poiret, Balenciaga, James, Lanvin, Dior, etc etc. It's running through Jan 5.
The "Exoticism" exhibit is fab, too!