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BMW is right- the nicer the car, harder to leave it outside, although I routinely see expensive ones parked outside at night. I do think however that leaving the car at the station that'll depend on the town: for example at my place on the CT Shoreline, I can leave the car safely at the train station for days. I also see 3-4 other NYC cars parked there. Free of course. Towns like NYers because we don't use town's schools and many of their services, yet still pay property taxes like someone who does use them.
I am not sure how the situation in for the Harlem Line. I also like NY towns from the Hudson to CT / MA line. Driving the Taconic or the 684 is easier than 95N, Merritt Pkway or 80W or NJT or Garden State Pkwy on Friday evening.
Car Insurance is also much cheaper. My Geico rate would basically drop in half if I didn't bring the car to the City.