Actual Italian immigrants are scare on the ground these days, so I'm not convinced you'd see anything particularly unique in e.g. the Arthur Avenue section of the Bronx. But I could be wrong.
I think there's a store in Chelsea Market (my brother lives there and sent me some OO) called the Filling Station which has some nice choices. I can't speak to the veracity of their origin, but that place will have a lot of choices and you will be able to get a very peppery, very strong oil (I am a big fan of Hojiblanca if you see it, but anything toward the more peppery end is my preference).
E.g. http://www.titanfoods.net/mm5/merchant.mvc?Screen=SFNT&Store...
Actual Italian immigrants are scare on the ground these days, so I'm not convinced you'd see anything particularly unique in e.g. the Arthur Avenue section of the Bronx. But I could be wrong.