Yes, there are places to build, but you might want to demo what's there first! If you drive around, you'll see there isn't too much undeveloped land.
In fact, anywhere in NYC, a vacant lot can sometimes mean a legal situation so complex (read: expensive) that it hasn't been worth tackling by anyone.
So, the more common strategy is to find something that's deteriorated enough that it's worth tearing down. A lot of sales have occurred like that in Williamsburg in the past few years.
I know of a place zoned for mixed use priced at $599,000 that might be worth considering, if you can go that high. It is not a tear down, it's usable, but it would be easy to demo. And as mentioned your mortgage situation is simpler if the land is developed already.
Licensed Real Estate Salesperson
New York, NY