Insomnia Cookies
Insomnia Cookies is a cookie shop located right next to the Hungarian Pastry Shop at 1030 Amsterdam, where P and W Sandwich Shop was until it closed in December 2011[1].
Their shtick is, they deliver warm cookies to your dorm until 3 a.m. (though they stop taking orders at 2:45). NYU has one, though, and apparently at their's "[m]any [students] have had orders cancelled and were only informed about the cancellation after hours of waiting[2].
If you want to save some money, check retailmenot.com for coupons. They often have great deals for Insomnia Cookies.