Yoga Haven in Tuckahoe has a mommy-baby class that is fun - Debi is the instructor, I like her a lot. It's a drop in class, nice place to meet other moms in the area. Don't worry if you aren't familiar with yoga - it's a very laid back class (I remember I spent about equal time nursing to doing yoga...). And Starbucks is right around the corner for a little treat afterward.
Over The Moon Music in Scarsdale offers music classes for mixed ages and babies. It's a series, so you may have to wait until the next round is offered. But it can also be a good way to meet other moms.
The Bronxville Library has a baby storytime. I never tried it, but overall they have good programming for children, so I bet they do a good job. You might also check out the Tuckahoe, Eastchester and Scarsdale libraries to see what they have to offer for babies.
And this website just launched recently: wee westchester
It's over the top precious, but it does have a fairly decent calendar for kids things, so I've choked back my nausea and book-marked them for future reference.