I went by Cafe Zaiya on 41st St/Madison for something at the bakery counter to accompany my lunch from Yagura next door. They have a cod roe bun/bread that's pretty fantastic. It's a soft Japanese roll that's split down the top and in the center is a buttery cod roe mass and then baked some more. Not substantial, but a good snack for $1.95. There's a version with melted cheese for a little more. Also very good is what they call sweet potato pie (or satsumachan in Japanese). It's a lump of Japanese sweet potato (satsumaimo) wraped in a pastry and baked, with a white sugary syrup poured on it like a cinnamon bun--which is what it looks like. Both of these items are optimal when they're still warm.
On another note, I was in the mood for oden, which Yagura has carried in the past, but I haven't seen it on the counter there. Did they discontinue it? It is, after all, oden weather.