The State College airport code is SCE. There are direct flights to Detroit on Delta, to Chicago and Washington on United, and to Philadelphia on USAir.
There is direct bus service on Megabus to New York City, Philadelphia, and Pittsburgh. Amtrak is not generally convenient; the nearest stations are Huntingdon, Lewistown, and Tyrone.
Alternatively, State College is an easy drive from Baltimore, Buffalo, New York City, Philadelphia, Pittsburgh, Rochester, Toronto, and Washington DC.