FivePoint, what Esav said--it's a fun walk, too. Drive up to Trenton or Hamilton and take the NJ Transit. Parking at Hamilton is $3 a day. Paragon Sporting Goods on Broadway also has a big knife section,lots of high end and expensive blades, but I think they may be at the Custom Show, so it'll save you a trip.
SweetHenry, there are gun shows in King of Prussia and the Phildelphia National Guard Armory on a regular basis, plus others in Allentown. If there are any regular ones in NJ I don't know of them.
I've seen a magazine that lists Gun and Knife shows on newsstands. It'll have most everything along these lines for a certain three month period and broken down by region and date.
Good stores(production stuff like Benchmade and Spyderco and CRKT, for example) would include Ray's on Rte 22, Ramsey Outdoor on Rte 17, Harry's Army and Navy in Bordentown. There was a retail knife store in the Toms River/Brick area but it seems to be gone.
A few knife vendors also do boat and outdoor shows, like Roz of Gulfstream/Holsterdepot, but I don't think any of them have a retail store. Better bet for these guys is on line.
Speaking of retail, other than Herder's Cutlery in a few PA malls, the odd Remington store (the only one I recall is in Franklin Mills, and the aforementioned shop within Paragon and those above, the only other retail knife places I can think of are JT's in Port Jervis and one on the outskirts of Rochester NY--can't remember the name. There was another one in Buffalo but it also closed in 2002, IIRC.
Does anyone know if any of the manufacturers like Schrade or Ontario or Camillus have factory stores?