My two favorite coconut cakes in the city come from two very different places. One is at Amy's Bread, where the coconut cake recipe was developed by a baker from Hawai'i. (By total coincidence, that baker worked at Honolulu's Napoleon Bakery, which is responsible for the fluffy and tender coconut cake I grew up with; no wonder I love it!)
The second is from Smith & Wollensky. You don't need to come for a full meal to have the cake; just drop by the Grill room at off-hours for dessert. The coconut cake is served by the slab with vanilla ice cream. It's gorgeous to look at and even better to eat. Three thick layers of cake are soaked in coconut milk with simultaneously silky and fluffy cream, and ribbons of coconut to finish. The cake crumb is dense, but impossibly moist and saturated with coconut. Whereas the one at Amy's is homey, this is downright luxurious (and massive in size). I'm usually not a frosting person, but could eat bowls of this; it's something closer to thickly whipped cream with coconut than traditional frosting. Who needs steak at Smith & Wollensky's when you have dessert?