From what I know, a short list:
Thoroughly Modern Millie, The Producers, Avenue Q, After Midnight, Company, In the Heights, Rent, Annie, On the Town, and Hair
Possibly Shuffle Along (I haven't seen the newest production, and I'm not sure if it's a revival or a musical based upon the original from what I've heard. If it's the latter, it tells the story of the musical itself, so it takes place in New York).