Roxy, Maxie's and Ben Ash are just some of the "faux" deli's in the Times Square area. Sure, they look authentic, but for the real deal of a New York Deli, you have to go to Carnegie.
For the person that asked about Cafe LaLo, you can take the 1/9 to 86th Street and walk three blocks. Or you can take the B train to 86th Street and walk about five blocks. Cafe Lalo is on 83rd Street, between Amsterdam and Broadway.
(But as for cheesecake, I still stick by my original post: Junior's in Brooklyn. There IS a Junior's branch that has opened downstairs at Grand Central too, so you don't necessarily have to go out to Brooklyn, though it's not too far of a trip).
"Gif me the cobra jool!"