I fly into the Westchester airport. I spent the weekend before in D.C. and so found a cheap flight from D.C. to Westchester. From there it's just a cab ride away. The other option I looked into since I orginially planned on flying in from San Diego was jetblue to JFK ($99 each way, cant beat that) and then take the shuttle to Grand Central. From there I was gonna take the train up to the Valhalla area. I actually did that on the way back and it wasn't bad. Quick train ride (about 20-30 minutes) and then grabbed the airport shuttle bus just outside grand central (another 20-30 minute ride). Option number three would be to rent a car but if you're not used to driving the crazy east coast roads it could be very easy to get lost (I didn't feel like risking it).