Back in 2011 Nintendo gave E3 attendees a special surprise in the form of a live concert built around The Legend of Zelda. Soon after, Zelda: Symphony of the Goddesses took flight around the country, making stops at many cities to perform in front of eager and enthusiastic fans. Like Video Games Live, Zelda: Symphony of the Goddesses is a concert where a full orchestra plays music from video games in sync with gameplay video which is displayed on a large monitor. In Zelda's case the gameplay comes from a variety of Zelda games.
Fun bit of trivia. This isn't the first time Pokemon has appeared before a live audience in New York, or across the country. Back in 2000 there was a traveling stage show, Pokemon Live!, which stopped in New York (among other cities).