They closed their doors a short while ago, due to empty houses (they're one among many on Broadway) at shows. It now sounds like they're going to be re-opening on October 31st. . . hopefully to keep on going.
One of the reasons I want to go back and visit new York again next summer is to see Rocky again.
Oh, and for all you virgins out there, you should really go see Rocky Horror. If you can't see it on stage, try to find a theater playing it late on Friday or Saturday nights. It's a blast.