At NWK Penn Station there will be more service, as you will have a.choice of NJTransit rail or PATH (Port Authority Trans Hudson) trains (which run underground in Manhattan and at a couple of stations in NJ). PATH trains do not go to either Penn Station or Grand Central, but they get very close to Penn Station: the northernmost PATH station is 33rd Street and Sixth Avenue. Penn Station has multiple entrances on Seventh Avenue between 31st and 34th streets. Connections to several subway lines are available from the PATH stations on Sixth Avenue, and at the PATH terminus at 33rd Street.
PATH will be cheaper; NJTransit will be faster.