Winter Quay was an apartment building located near Battery Park in Manhattan that was used as a "battery farm" for the Weeping Angels so they could feed on time energy. The Angels would imprison anyone who entered Winter Quay inside, and would send them back in time further into the Quay's past each time they tried to escape.
Winter Quay was removed from time and space on the night of 3 April 1938 when Amy Pond and Rory Williams created a time paradox by leaping off of the roof to their deaths, thus averting Rory's imprisonment in the Quay by the Angels. (TV: The Angels Take Manhattan)
The Twelfth Doctor and Clara Oswald briefly visited the building during the time the Eleventh Doctor and his companions were there, when the former chased a time fly through a rip in time created by the Time Reavers. The fly was displaced in time by an angel, and the Doctor left with Clara without being seen by his past self. (COMIC: A Stitch in Time)