The two beams of light are up for the Twin Towers memorial tonight. 
In the shafts of light, there are thousands of tiny reflections, like
heavy dust in a flashlight beam, or insects in headlights.  However,
these appear too large and slow to be insects, and far too dense to be
pollution.  What are these items floating on the wind?

I found this:

http://www.shinygun.com/story.php?id=65

When dust from the debris removal drifts west and enters the columns,
the heat from the bulbs forces it to rise and the towers become a
swirl of particles. The effect of watching their ascension is
dizzying. At a certain spot in the sky difficult to determine, the
columns of light begin to destabilize. They seem almost to be tipping,
leaning into each other for support while simultaneously buckling
outward. As the integrity of the towers is increasingly compromised
the further up you gaze, more and more light disperses across the sky,
like waves rippling out in a pool of water. When the columns touch in
the upper atmosphere the two again become one.

I don't know if this is what you saw.

The lights were migratory birds, drawn to the light.  (I live in NYC,
and this is based on personal observation.)

Apparently, this is a well known occurence with bright searchlights
(1), and was one of the initial concerns that environmentalists had
about the installation of the memorial (2).



(1) Bruderer, B., D. Peter, et al. (1999). "Behaviour of migrating
birds exposed to X-band radar and a bright light beam." Journal of
Experimental Biology 202(9):1015-1022;
http://jeb.biologists.org/cgi/reprint/202/9/1015

(2) http://archives.tcm.ie/breakingnews/2002/04/12/story46273.asp ,
among many others.