The Metro-North Railroad and Amtrak can take you to many of the towns on either side of the river. If you want to do more than walk around the downtown area near the train station, you may want to rent a car once there. Enterprise is a good company to go with in this situation, since staff there will pick you up (not applicable to all stations).
Amtrak. 1 Massachusetts Ave., Washington, 20001. 800/872–7245; www.amtrak.com.
Metro-North Railroad. New York, New York. 212/532–4900; 800/638–7646; www.mta.info/mnr.