Somewhere, I'm guessing lurking in another thread, is the response I put here yesterday, heh.
I would NOT do 95 to the GW - 95 near the city is always, always a mess and often above that.
I would also stay away from the Tappanzee, especially on a Friday.
To do the HH (Henry Hudson) Bridge instead, you need to either come down 84 or 91 to the Merritt (CT 15), both of which turn into the Hutchinson River Parkway (the Hutch).
You then stay on the Hutch, stay in the left lanes, it's pretty short, <10 miles, to the Cross County Parkway. Again just stay on it to the left and you'll end up on the Saw Mill (this one has a curved fork to the left, the Cross County is just a plain fork to the left, both signs I *think* also say New York City).
The Saw Mill turns into the Henry Hudson Parkway as it moves through the Bronx (these are all fairly short roads). The HH Parkway will put you on the HH Bridge (also short), which has the $4 toll.
Going over the HH Bridge puts you on the West Side Highway. Stay, again, to the left. About a mile and a half, two miles after the bridge, you'll see the sign for the GW Bridge. It's a left exit that will put you on the street, on Riverside Drive, for like a half block. Can't miss it, big signs, just hang a right off the exit and the Bridge entrance ramp is right there.
The HH Bridge way avoids the 95/Cross Bronx/Deegan exchange entirely and is almost always much less crowded (if you're going down 87 or 95 at 2am on a Tuesday there's no crowd but even to 10pm you can find a crowd trying to get off 87 to the GW or clogging up the Cross Bronx, etc. and this way avoids Yankee Stadium as well), it's faster and shorter, it's a nicer drive and the entrance ramp to the GW is much shorter and with less traffic, as it's a more direct way to get on the ramp.
In general, I'd say take the Merritt (CT 15) or 91 to the Hutch, but the Merritt on a Friday is almost always crowded and it has fewer lanes than 84.
You CAN do the above from 95 - you get off in Westchester, I think it's the Mamaroneck Ave. exit, and drive a couple miles on Mamaroneck and get on the Hutch directly and then follow along.