Actually, Peekskill has a huge art scene. There are lots of galleries, the Hudson Valley Center for Contemporary Art, a large number of studios, and lots of artists who live in the city. There's been an art scene for years, and the city has encouraged it by building subsidized artist live/work housing. The Peekskill Coffee House is the hippest place in the county--certainly as hip as any place on 5th ave in Park Slope--and there's the new Peekskill Brewery by the riverfront. There is the Paramount Center for Performing Arts, which has art films and live music, and there are also a number of good restaurants, music venues, cool shops, and a great bookstore. There is also the Art Lot, a sculpture garden on the outskirts of town.
This weekend is the annual Peeksill Project, with art by over 50 artists all over town. There will be Art Buses taking people to each site, and many performance pieces and live music. Thousands of people attend each year. In the spring, the Peekskill Arts Council holds an Open Studios event, which also brings lots of people.
Lots of other towns have healthy populations of artists too. The Croton Council of the Arts (in Croton) has regular events and there are galleries in Croton, Tarrytown, and other towns. There's also the Croton/Cortland Center for the Arts, the Hudson Valley Writers Center, The Studio, and the Westchester Arts Council. But Peekskill has the greatest concentration of artists and art-related things.
Check out this blog, which lists art openings and other events:
Rest assured, there are lots of artists in Westchester. Some other sites to check out:
home | Peekskill Arts Council
HVCCA: Hudson Valley Center for Contemporary Art
Contemporary Fine Art&Sculpture Galleries
Croton Council on the Arts
http://www.cccarts.org/
The Hudson Valley Writers' Center