New York has most anything at every possible price point. Liquor is definitely cheaper unless you're going someplace upscale, food is generally about the same but there are some cheaper options than some of the more general stuff you find in Canada, especially comparing certain grocery stores. Clothing, again, pretty broad range there, so you can go to Uniqlo or an upscale boutique depending on your tastes or what you're looking for.

Having lived in Canada I'd say most everything here can be found cheaper barring rent and healthcare. Unless you're coming from Vancouver in which case rent is about the same.