There is a transit workers' strike in NYC today. If you need to get somewhere, consider riding your bike. Even though it's 22 degrees right now (8:33 EST), this is not a crazy suggestion. In many of the colder parts of the world, people commute by bicycle all year round. If you would consider walking in weather like this, riding a bicycle is not that different.
Remember that you go at least 3 or 4 times faster on a bike than you do when walking. Even if your bicycle is a real clunker, commuting from 40th street to Wall Street is not a big deal. Manhattan has bike paths on the east and west sides of the island. even if you have to go out of your way to get to them, these are the best way to travel north and south, as once you get on them you don't have to stop.
If you have not ridden your bike in a while, be sure to check the tires before planning to use it. They should be hard, and when you sit on the bike, they should not change shape too much. Try the brakes too. Remember that you will have to get back later.
The first point, surface warmth, is especially important in front, where the wind will be hitting you (or you it, really). Wear clothing that is warm, but that can be taken off and put in your bag as you ride. You will get warmed up after a few blocks, and then the main concern will be (1) surface warmth. If you wear a knapsack, wearing it on your chest can block the air and keep your heat in. Do not wear extra layers that you can't remove, like a sweater, because you will be warmer than usual on the inside. If you want to get fancy, this stuff smells good and will lessen the sting of air on your face.
If you wear a helmet, you can tape up the vents in the front, turning your helmet into a styrofoam insulator. I got that idea from Sheldon Brown.
Also, remember the cuff of your pant leg. Bring a rubber band.
Here's a pretty good article on how to dress for winter biking. It's not for people going to office work, but it might be helpful.
I wrote a whole article on how to lock your bike. The basic idea is that you need to lock the wheels, the frame, and the seat. You need a good lock. Cable locks are OK for locking the wheels and seat, but are not OK as your primary lock. If you are in doubt, ride to the nearest police precinct and lock your ride there.Elsewhere, Transportation Alternatives has a detailed guide to biking to work, with stuff not covered here like traffic rules. Have a nice ride!