NY is a big state, define as Downstate (NYC Area) and Upstate (pretty much Albany on up).
There are several good cons in CT that are easily accessible via train from NYC: AnonyCon, AnonyCon, Dec. 4-6, 2009, in Stamford, CT, is my favorite.
More like Albany on out. There's a lot of upstate that's West or South-West of Albany.
I don't know of much Con stuff in upstate; there's not really many people living up here. Downstate is too expensive for anything large, I'd think (although SciFi and Comics cons probably have better economies of scale).