Bus Options from Albany
Megabus - Probably the cheapest option with the largest coverage area. They advertise $1 one-way trips that you can purchase using either a promo code or by booking far enough in advance. From the Albany/Rensselaer train station, you can catch a bus down to New York City or Ridgewood, NJ. And from Saratoga Springs, you can go to NYC or Burlington, Vt. Pros - cheap/wifi. Cons - dropped off and picked up in random areas/schedule is sometimes iffy
Chinatown Bus - This bus leaves from 128 Central Ave and 1245 Central Ave daily every couple of hours to New York City, either 34 W 31st St or 133 E Broadway. Trips are $15 each way. The company also offers trips to Atlanta, Savannah, Cincinnati, and many other spots from NYC. Not a lot of bells or whistles here. Pros - reliable/easy access to Chinese stores and restaurants. Cons - Not a lot of variety in offered destinations from Albany
Yankee Trails - This well-known, local company offers pre-determined bus tours. They have day trips to NYC and Boston, and multi-day trips to DC, Florida, and Canada. NYC day trips are around $50 and themes range from going shopping to going to Broadway or the Radio City Music Hall. Pick up points are in Rensselaer (6:45am), Latham (7:15am), and at Crossgates Commons (7:30am). Pros - comfortable/amenities like a TV. Cons - More expensive/already scheduled trips for less flexibility
During the holidays, Yankee Trails offers trips for the Macy's Thanksgiving Day parade, a Christmas Lights and Cannoli Tour, a NYC Holiday Lights Tour, and trips to see the Radio City Christmas Spectacular.
And here's a bus that runs from Albany to Burlington, Vermont.
Don't forget, you can also take the train. Amtrak offers trains regularly from the Albany-Rensselaer Station to Penn Station. Tickets range from $41 to $65. Pros - Convenience/comfort/wifi. Cons - More expensive
Or drive part of the way and take the train the rest of the way. For NYC, you can drive to Poughkeepsie then take the Metro-North (about $31 round trip and parking is free on weekends). I've also heard of people driving even closer to the city and parking in subway parking lots in the Bronx. Or, for Boston, you can drive to a suburb like West Natick, then take the T into the city ($2-$11 ticket and parking is about $4).