There is train service from EWR-Penn Station in NYC. But if 3 of you are traveling, you'll obviously have 3 fares.
In terms of convenience, LGA is the way to go. Depending on traffic, you're in midtown NYC in 25 minutes. However, unless you're in the mood for a city bus and subway ride, a taxi or express bus/super shuttle are your best options. For 3 people, I'd definitely take a cab- probably will cost about $15-$25 (plus toll/tip $$), which is what 3 super shuttle fares would run.

[This message has been edited by dave_261 (edited 02-24-2003).]