Please, please, please go to Sleep no more if you are in NYC.
This was the best thing we did in our last trip to the city.
Wear sensible shoes (you will be climbing up & down stairs and possibly running for up to 3 hours), get a drink at the bar to get in the mood before it starts and just enjoy the ride.
Also recommend getting a table if you can. The jazz show after the play is over is also great.