If you're going to a sporting event, and plan on returning into NYC after, I'd arrange for a car. Any hotel concierge in NYC can help with this. If you're meeting someone, then you can take a cab, which would really be your only option. It will be difficult to find a cab for return transportation to NYC, hence why I recommend getting a car. There probably is a bus which leave from Port Authority, but I don't know the schedule or prices. The cab will be VERY expensive, since they will charge double fare if you can find one to leave NYC. Depending on time of day, it can take as little as 25 minutes or as long as all day. Basically if you're trying to get there during normal rush hours 6-9 AM or 4-8PM, you're looking at a minimum of an hour(most likely more) proabably more if you're on the East Side, trying to get crosstown can be a nightmare!!
Edited to add: The ferry the above poster talks about, drops off in Weehawken, and is no where near the Arena and public transportation is VERY sparce there as well as cabs.