One complaint about the Best Buy Theater in their Yelp reviews was about the long lines at the coat checks.
Don't count on luggage storage at the bus terminal, though. Public lockers at transit stations have become a rarity in post-9/11 America. Here's a useful article on the subject of luggage storage in NYC.
My friends and I stayed at the Hotel Wolcott in Midtown Manhattan when we went to NYC in 2008, and they had coin lockers that their guests could use. That came in handy, since we arrived before our rooms were ready.