There are a lot of smaller small lots that do not charge anything all along the way. Seymour, Beacon Falls, Naugatuck, etc. All these would be relatively safe. Do not leave it in Waterbury, though. The problem with these stations is that there is a limited # of trains. As you get closer in to NYC, there is more service, but I don't know about the parking. My daughter frequently travels from Bridgeport, where there is plentiful train service, but I don't know if you can leave your car overnight there. I think she most often parks in the Holiday Inn lot there. Perhaps give them a call. Maybe the Metro-North website can help.
ETA: If you do decide to use a lot that is manned and gated, be sure it will be open at the time you plan to pick up your car. DD was left scrambling for a spot once when she realized the lot she had planned to park in would be closed by the time she got back, so she would not have been able to retrieve her car until the morning.