Haven't stayed at the Hotel Pennsylvania myself, but know someone who has. Actually I have stayed in the hotel next door before, the Southgate Tower, so I do know this area reasonably well (hey, I might not have worked there, but five trips in seven years comes close!)
Don't expect too much from the hotel, it's not exactly high on quality, but it's clean and has a bed and a shower and that's all you need. You'll find it mainly full either of European tourists or American businessmen who have conferences/meetings at Madison Square Garden (directly opposite) that couldn't get their bosses to pay for something more luxurious!
It's well located for Macy's and the Empire State and as it's on Seventh Avenue, it's directly on the 'Red' subway line, which is very convienient as this goes pretty much the length of Manhattan and connects with every other line. For example, Times Square is only two subway stops away on that line.
In fact, that's the hint I tell EVERYONE who goes to New York - make sure you use the subway - it's the easiest and cheapest way to get around. Don't have any fears about safety - it's as safe, if not safer than the Underground in London and I wouldn't have second thoughts about using that. Just get an unlimited use Metrocard and a decent subway map (one of those fold out street maps of NY has one in them) and you're away.