Ditto Villager and DMA's comments! Cold Spring is beautiful and riding the Hudson Line is so senic. As with any commuting, however, you have to "give yourself over to it" and realize that the whole system is out of your control, so there's no point getting frustrated.
Since you mentioned one of your choices was living in Bergen County and commuting over the GWB; I assume you'd be taking a bus. Having done both, I would commute by train over the bus.
Bergen County is a nice place to live; I commuted to NYC via bus and train from there for years. Then I moved to Orange County and commuted via train (on the same train line, just way further north

and very frequently via the Hudson Line. It's a great way to travel. And, yes, you'll spend some time commuting and your friends and family may not understand why you do it, but perhaps like me, you'll feel like you're on vacation everytime you come home.
Overall, I vote for Cold Spring.
p.s. Checking the tax implications is also a great idea.