Please see NYU's Getting to New York page for helpful information on the airports, train stations, and bus stations that serve the area.
The nearest subway stop from Grand Central (Metro-North, Amtrak) is Astor Place (6 train, green line).
The nearest subway stop from Penn Station (NJ Transit, Amtrak, LIRR) is West 4th (A/C/E train, blue line), or from nearby 34th St Herald Square, 8 St (N/R train, yellow line).