It depends on where in Westchester you are going to be. You could also consider Stewart to the north, or if you are right hear White Plains, then any connection you need to make will probably be way better then getting to Kennedy.

I believe you can get to Atlanta, Detroit, Dallas, and San Fran all non stop from Stewart on AA, CO, Delta, and a couple other airlines do some of those as non stops. It's often less expensive then the other options in NYC area.