I grew up in Pine Bush, which is about 30 minutes west of Newburgh (just past Walden). Haven't lived there for 7 years though. Wow, I had no idea I'd find my NY roots showing up here on ENWorld.

What school are you going to?
As for things to do, I can second the vote for New Paltz (I went to school there), although I don't think October Country is still in business. I went looking for it on a trip back a year or so ago, and found an empty storefront. I used to drop alot of money there...
Between Newburgh, Middletown, and New Paltz, I'm sure there is some kind of game shop that you'll be able to get too. If not, Poughkeepsie isn't that far a drive across the Hudson (there used to be a store there called Iron Vic's and also the Dragon's Den). There is definitely plenty to do in the area, between hiking & rock climbing in the Gunks, boating on the Hudson, and if you're in school you'll be able to find gamers, either where you are or over in New Paltz.
You can easily catch the train to NYC across the river in Beacon as well. I used to commute into NYC for work from there, its about a 1 hr 20 min ride and being a commuter train it runs 1 or 2 times an hour.
Ah, you got me all home sick now...
