Walking in NYC and getting the best of it (train, venue)

[carcasman]

Hello!
i'm planning to visit NYC again, i use to come every year since 5 years ago, i stay in NJ and then i take the train to the city 2-3 times every year in Holidays.
This time, i'm planning to visit the city with more frequency, but i believe that as i don't know the city that much sometimes i don't take the best of it when i'm walking, i may take a wrong way and walk through a whole avenue where there is nothing cool to watch.

I use to start my journal at the NY Penn Station, and then i go to time square, which way would you take?
Which avenue it's better to take to walk?

Thank you for your help