I'm assuming you mean to get out of New York City, as New York is also a state. If you head north of the city, there are The Catskill Mountains, the Adirondack Mountains and many smaller parks, all within the State of New York.. The fall foliage season is over for the most part. So you've missed the autumn colors although there are pockets of colors still left. You might be able to catch some snow up north, so check the weather reports. Good luck and happy hunting.