Like CK says, although the Bronx has some great "Mom and Pop" gamestores, I don't think the average tourist can handle the neighborhoods that house them. With that said, I'd recommend Game Express on West 33rd street (If I'm not mistaken). Also, if you need some import items, I'd recommend J and L on Elizabeth Street in Chinatown. Also try EVo, which is hidden across the street from J and L, on the lower level of a very small Chinese mall.
If vintage games are your thing, I'd reluctantly recommend Multimedia 1.0 on St. Marks. Again, I wouldn't recommend that the average tourist scour the Bronx looking for games, but if you think you have the intestinal fortitude to do so, check out Fordham Road. They have quite a few shops.