You can take the Vermonter direct to Penn Station. If you miss it or need more options, you can take one of a few trains to New Haven then switch to the Metro-North that goes to Grand Central.

I don't do it that often because I don't go to NYC that much anymore, but with Phish doing a 7 night residency this summer at Madison Square Garden...bet your bippy I'll be training it down to funk town!