no tax return in NY, but I heard you may get tax back in some states. anyone knows how?
You can't get the tax back at all in any state. Sorry. THe only way to get it back would be to show that you paid the "use" tax in your own state for the item, which is not possible if you are outside the states.
This is a common misconception for visitors who are used to VAT systems. In the US, the tax is very low (high for our standards, low for most VAT) because it is not a VAT, but a tax on consumption that funds local towns and schools. If you buy it here, you pay the tax. Some stores offer to ship without the tax though.
Macys and Saks I think have a program if you show your passport and your entry immigration form, they give you a discount.