One thing about caul fat is that it's very perishable, so don't buy a lot at once. If I remember correctly it's taken from the area around the pig's kidneys.
Caul is also great for making various meatball-like creations, such as faggots (http://butchershook.net/2010/02/08/traditional-homemade-faggot-recipe/). There's a non-pork version found in Egypt as well, though can't recall the name off the top of my head.
Not sure where you are in NYC, but Ottomanelli's on Bleecker St. is good about ordering things, even if they don't always carry it. Also on Bleecker, you might try Faicco's - they make lots of sausage, so maybe they'd have it.
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