NY in May is warm like June. I live in NY and it is warm then, if that makes any difference. I agree with PP it depends on your dress. I'm wearing peep toes.
I agree to go with what you are most comfortable with. I personally do not like peep toe shoes so I would never wear them. Not that I like closed toe much either I have sandals for my wedding but obviously mine is a lot less formal.
Keep in mind that May in NY may be wet - so if you might have to walk outside a lot, closed toe would protect you a little more than peepers.
I love sandals, and find they're more comfortable, but I'm a San Diego girl. We're getting married in a formal Japanese Garden. I ended up buying 2 pair of sandals - one that's the twin of a black pair and a brown pair I wear on a weekly basis - but in white - so I can walk and be comfortable for the entire day (without falling on my face) - and an adorable, fashion-forward pair for pics.
Summary: get what you're comfortable in, and if you want another pair for cute pics (and it's in the budget) get that too.
Re: Open toe or Closed toe? To be or Not to be?
If it helps you any, I wore open toed heels. But I would go for comfort first, then style. Just my opinion.
Keep in mind that May in NY may be wet - so if you might have to walk outside a lot, closed toe would protect you a little more than peepers.
June 2011 Siggy Challenge: Shoes!