The Long Path, New Jersey
If you catch the train to the 175th Street subway station in New York, and walk about 10 minutes to the George Washington Bridge, and then about 30 minutes over the bridge (beware it's very loud and windy!), you can walk straight onto the Long Path. The Long Path is 357 miles of walking trail between Fort Lee, New Jersey and Altamont, New York.
One late winter day when the weather was sunny (but still cold) Adam and I walked along the trail and covered a few miles along the top of the cliffs to Allison Park, enjoying the views of the Hudson River and the George Washington Bridge.