The aforementioned train station that sits underneath MSG is no small thing, because it means you can reach it from many, many points in and around New York City. Penn Station is served by the New York subway, Amtrak, New Jersey Transit, PATH, Long Island Rail Road and bus lines, and from the station all it takes to get into the Garden is an ascent up an escalator or some stairs. Right outside the station on Seventh Avenue, you can count on finding a gaggle of taxis waiting for fares. Why anyone would drive themselves to a game at MSG is beyond me.
If you are staying anywhere within 15 streets of the stadium and it is your first or second time to New York then I recommend walking to the game. The vibe in the street is amazing and it is hard not to get caught up in the excitement of New York! Plenty of people watching on the way and even though it was January when we went it wasn't cold enough not to walk.Enjoy!