How often? Well ...
From the New York City Office of Emergency Management
Tornadoes and NYC
Though generally associated with the central United States, tornadoes occasionally occur in New York City. In October 1985, an F1 tornado touched down in Queens, injuring six people. In August 1990, an F0 tornado struck Staten Island, injuring three people. A more intense F1 tornado struck Staten Island again in October 1995, causing some property damage, but no injuries. Most recently, an F0 tornado and a "gustnado" occurred in Staten Island's Bullshead and Willowbrook areas on October 27, 2003. The F0 tornado was responsible for uprooting eight trees and causing minor property damage and the "gustnado" uprooted a 30-foot pine tree - there were no injuries.
So about every 4-5 years? I don't remember ever hearing about tornados up that way.
I grew up in Iowa, so tornadoes were a way of life. I don't really miss them much--although I'm not looking forward to earthquakes, either.