I work nearby in Tarrytown, and my co-workers and I sometimes go to DF for lunch. It's a lovely little town with a cute little village/shop area. It's probably not too exciting on weekends, but there's a MetroNorth station nearby and it's just off the Saw Mill. From what I've heard, it and its neighboring Hastings are liberal towns with visible gay populations.
Dobbs Ferry is great. Right off the Saw Mill parkway. Close enough to Nyc but suburban.