There's a Megastore planted in each major square: Times and Union. Despite the rows upon rows of CDs, videos, books, and DVDs, there's plenty of room for live band appearances -- and if you're weak in the knees afterward, you can drop into a chair at the in-store café. Subway: N, R, Q, S, W, 1, 2, 3 to 42nd St./Times Sq. Other location: 52 E. 14th St., at Broadway, East Village, PHONE: 212/598-4666; Subway: L, N, Q, R, W, 4, 5, 6 to 14th St./Union Sq.