Air Carrier on final to LGA initiated a go-around due to wind shear alert.

Narrative

On final approach we were advised aircraft ahead reporting plus and minus five knots of windshear on short final. Wind at 2;000 FT was roughly easterly wind at 50 KTS. The surface wind was east-southeasterly at 15 gusting to 25-27 KTS. Moderate turbulence and gains and losses of 15 KTS were experienced from glide slope intercept to the point of the surface. At approximately 500-600 FT AGL the GPWS wind shear warning activated and I said to the Captain; 'Go-around; windshear.' At this point; the Captain advanced the thrust levers. I selected the TOGA buttons and verified the wind shear on the FMA. I notified Tower we were going around due to windshear. We were told to fly runway heading and maintain 2;000 FT. I read this back and we were able to comply; as we were quickly out of the shear and passing 1;200-1;500 FT AGL. We had a positive rate (clear of shear) and got the gear retracted; and flaps retracted after. Tower gave us another altitude of 3;000 FT. We climbed to and maintained that altitude. We were asked why we went around and I replied; 'We had a windshear warning; plus and minus 15 KTS at 500 FT.' We were told to contact Departure Control and were given vectors back to another ILS approach. I suggest that this is an unavoidable event. The GPWS gave us the alert and we were experiencing shear all the way down the final approach.