Well not entirely sure how you'd classify this, but went to Big Apple Anime Fest last august, ended up seeing the premiere of the Cowboy Bebop movie and the world premiere of Millenium Actress. The former was really quite cool for anyone into that sort of thing. After the screening, the Director (Watanabe), the character designer, and the artist who did the music (Yoko Kanno) fielded questions for damn near an hour. The second movie, the producer was there, but this was the first screening anywhere in the world. Probably one of the more entertaining pieces of film I've yet to see, anime or otherwise. See it if you have the chance, and can stand the Anime style.
Granted this might not be the highest profile premiere ever, the experience was pretty awesome. The Marriot on Times Square was significantly discounted, so we were able to stay pretty affordably. Then the movies were shown in the Leows at the Virgin store. Pretty great experience for my first time in NYC