If you like hiking, you could take Metro-North up to Breakneck Ridge.. that service only runs on Saturday and Sunday though. You just take the Hudson line Northbound, and the Breakneck Ridge stop is a small wooden stand just north of Cold Spring. You do have to request the stop, I believe. There are two trains up in the morning, and two trains back in the late afternoon/evening. You can find the schedule here. There is a lot of nice hiking to be done in the area, with great views of the Hudson - after you're done, you could either walk or take the train to downtown Cold Spring, which is another nice place to spend a couple of hours.