with the exchange rate, it's very favorable at the moment to buy here. I ordered a guitar here for a friend back in the UK, even with international shipping and customs duties it was still $200 cheaper than buying it new in the UK.
TheBaron, do you know what sort of bass you want to buy? There are lots of cheap online US retailers, and maybe a friendly NY TB'er would let you order and have it delivered to them so you could pick it up from them while over.
Definitely second the bassboutique.com recommendation. Rudy's has a good selection, although it's hella expensive and the service is ... variable. If you're looking for something mainstream then there's also samash.com and guitarcenter.com, they both have Manhattan stores.
Some other stores:
http://www.30thstreetguitars.com and
http://www.mannys.com