"Exit, pursued by a bear" (The greatest stage direction ever).
Winter's Tale was just done at the Delacorte for Shakespeare in the Park a couple of summers ago with Keith David, Aunjanue Ellis and Bronson Pinchot and gets done fairly often by smaller companies around town from time to time.
Because there's so much Shakespeare being done constantly in the city (Richard III is currently at the Public; Rose Rage, Edward Hall's take on the three Henry VI plays is at the Duke; Othello will be at BAM shortly), there's little reason for producers to go to the expense of mounting Shakespeare on Broadway. The exception is Lincoln Center's Vivian Beaumont Theatre which because of its not-for-profit status (and large built-in subscriber base) can mount large scale productions of the classics (Sheridan's "The Rivals" gets its first Broadway production in decades there this December) in an economically viable way. They hosted the Tony winning production of Henry IV with Kevin Kline last season, followed shortly thereafter by Christopher Plummer's King Lear.
Aside from LCT, I can't imagine anyone else producing Shakespeare on commercial Broadway these days -- the audience just isn't there for serious drama anymore (unless, say, Al Pacino, Meryl Streep or some other huge movie star wants to revive one of the major plays). I also don't think "Winter's Tale would be the play a big star would be interested in reviving -- Leontes isn't one of those really great star parts. However, Shakespeare gets plenty of fine, high profile productions in NYC every year -- at the Delacorte, at the Public, BAM, Classic Stage Company, Classical Theatre of Harlem, and elsewhere.
"What a story........ everything but the bloodhounds snappin' at her rear end." -- Birdie
[http://margochanning.broadwayworld.com/]
"The Devil Be Hittin' Me" -- Whitney