The Frick Collection
The Metropolitan Museum of Art
The Cloisters (always makes me think of Marjorie Morningstar standing among the lilacs when I go there
)
The Carnegie Museum of History (the first and still the best dinosaur collection I've ever seen)
The Hockey Hall of Fame (does that count???
)
Edited because how can I forget the Andy Warhol museum in my own hometown??? I think you need to be a Warhol fan to appreciate it, though. Otherwise it would get tiresome pretty quickly.