Last summer we were in Tokyo, and we got addicted to Japanese desserts. Most of it is made from sweet red bean paste wrapped in various kinds of dough. When we got back, we were majorly fiending for it-- total case of the dessert DTs. Luckily, we noticed that the Sunrise Market on Broome Street stocks plenty of simple wagashi-- and fairly reasonably priced at $1-$3/piece, depending on the size. If you are looking for something a little more sophisticated, check out the wagashi made by Toraya-- they've been making candy in Japan since the 1600s, and you can buy their stuff at two locations in New York.
UPDATE: Gothamist reader Michael writes: "I am pretty sure that I haven't seen any wagashi at Kinokunia bookstore in Rockefeller Center. They have an amazing selection of Japanese pens and other office supplies, lunch counter where you can have some Jamaica Blue Mountain coffee, a Japanese style sandwitch and cake (not wagashi though) and of course Japanese and Japan-related books, cds and dvds.
It would be strange anyway, as there's a superawesome Minamoto Kitchoan store just down the block. They have a humongous selection of wagashi.
When I was in Japan, I visited the Minamoto Kitchoan flagship store and a few Kinokunia stores (they are to Barnes and Noble what Lawson are to 711 in Japan).
Hell yeah! We're drinking like two liters of green tea a day-- mainly the Itoen variety that comes in the big bottle at Sunrise Mart. As for Japanese coffee in cans, we recommend the Suntory Boss Super Blend-- it's sweet and instead of milk, they use some kind of non-dairy sweetener, which is a must for us lactarded-types.