If you ever needed another excuse to go to Brooklyn Heights, here's one. The New York Transit Museum. Really fun, hands-on exhibits, some great old-timey pieces of history, and to top it all off, the whole museum was built into an old decommissioned subway station. So cool. (Full photo set here.)
May I suggest, though, that you skip the gift shop at the end if you have kids. TRUST ME. You may play the logic card, telling them that they have enough train crap at home without buying yet more, overpriced train crap--but they will not ever, ever believe you.