I love Chelsea Market, a long hallway of gourmet food shops, restaurants, and shops, at the ground level of the former National Biscuit Company (Nabisco) complex. Yes, this is where the Oreo was invented in 1913 and where Rachael Ray and other Food Network stars tape their shows at the studios in the building! It's the best place to spend a few hours when it's super hot and muggy, and alternatively, frigid and windy.
You can pick up all the ingredients for a great meal at home, or stop for a fun lunch at The Green Table or a quick sandwich. I always shop at The Lobster Place for fish (posts here and here), and Buon Italia for an authentic Italian grocery (post here). There are classic New York shops like Fat Witch, Jacques Torres Chocolate, Lucy's Whey cheeses and Sarabeth's.
At both the Ninth Avenue and Tenth Avenue entrances, you can stop and see historic Nabisco boxes like Uneeda Biscuits (which your grandparents may remember), and snacks that we recognize today: Vanilla Wafers, Saltines, Fig Newtons, and of course, the Oreo.