The lyrics are a bleak picture of life in New York City. The Stones always had a love/hate relationship with the US, and Mick Jagger's lyrics were often influenced by his thoughts on the country (see "Satisfaction"). New York in particular is a place where you could be wildly successful, but is also a city filled crime, drugs, and poverty. It should be noted that The Stones have taken shots at their home country of England as well, notably on "Hang Fire."
The last song on Some Girls. While they were recording this album, Keith Richards had drug charges hanging over his head from a bust in Toronto. Facing a maximum sentence of life in prison, Keith let Mick take control of the album, which is reflected on songs like this. Richards ended up getting off easy - he was sentenced to probation and ordered to play a concert for the blind.
Richards came up with the guitar riff on this and the line "Sha-doobie." Jagger wrote the rest.
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