Once I got to Beacon, I went to DIA: Beacon which is on the site of a former Nabisco factory. The open space is quite inviting for large scale art installations.
After a morning absorbing the art, I strolled over to Main Street to explore downtown Beacon. Lots of charming shops and even a Dr. Who themed restaurant (The Pandorica) are along the way. I also went into Hudson Valley Vinyl where I dug through the bins and came home with about a dozen records. The town is fun to walk through, with cafes, art abound, and many interesting shops to explore. Seriously, you can pack a full day in town, and since it's accessible via Metro North, it's a good escape from the city.