at least the last time I was there, there's plenty of room to anchor. But, it's a big harbor and if the wind is coming out of the North especially there's a fair amount of fetch and it can get pretty choppy. One time I was there it was over 30 knots sustained (in the middle of the night, of course) and every single boat to windward of me dragged past me. Made for a nervous, uncomfortable night. (One skipper astern of my boat said that he got seasick watching my boat at anchor!) Ashore, everything is over-priced, of course (well, it is East Hampton, after all).
Jerry