Believe it or not, the best place (and the cheapest) place to obtain everything you're looking for is simply at your fingertips -- online. Not only are the prices much lower than in the city, but you don't pay sales tax and sometimes shipping is free.
I'm in the city several times a year and I never buy theatre related stuff when I'm there, unless it is one of those rare 'sold only at the theatre' stuff. Need that rare or out-of-print CD? Ebay has always come thru for me.
You can buy online ALL the souvenir programs for every show as well other show merchandise like t-shirts, mugs, magnets, window cards, etc.
Broadway New York.com Online Store:
http://www.broadwaynewyork.com/main.asp?storeid=1