I'm from NYC; this past Saturday there was a secret Night Market. Not a Winkel and Balktick event per se, but with some of the same people involved.
A Night Market is a collection of box trucks, rented for the evening and parked together in a deserted neighborhood of the city; each truck is kitted out with some form of experience/entertainment: one gave out perogis, another served tea; one was called "Thunder Cube" and hosted big pillow fights; the most elaborate one had a functioning hot tub.
The event's location was kept secret until the last minute, and attendance was limited.
My girlfriend and I produced a truck; it was called the "Peek-a-Boo Lounge" and was simply a place for people to sit and socialize. We used lumber, fabric, and sofa cushions to decorate the back of a 24-foot box truck, turning it into a two-level maze where people crawled around on their knees. There were 2 sets of day-glo Connect Four, a pair of naughty dice (leftover from a Valentine's Day event) and a day-glo stuffed carrot (leftover from Bugs Bunny costume).
It took the two of us a couple of days and about $600 to build (including truck rental). People seemed to enjoy it, judging from the laughter we heard in back; it was childlike. We received donations to help pay for the project.
I've found it's critical to find projects with good "bang-for-the-buck"; you want to enjoy yourself even when you're working.
These sort of "experiences" work because of the community they foster, and because they rely on imagination; much of the 'entertainment" is really just a cheap trick and that's part of the fun.
Dear Author: you are missing Winkel and Blaktrick http://www.wandbevents.com/redesign/
They host events that are exactly the experiences you describe as missing from the city, and they are local to NYC.
Pro-tip: Don't go to the monthly events, only go to the seasonal ones that have a theme and story.