If you live in or near NYC, you have one of the most expansive urban exploration locales at your disposal. The subway system in your backyard; tunnels, abandoned stations, graffiti relics, and extremely accessible. Get a friend, get off at a low-key sparsely populated stop, make sure there's numerous tracks in the tunnel so you don't get hit by a train, look around to make sure no one is watching, and just walk in. I've only done it once, but it was really amazing, the tunnel I went into had another unused tunnel underneath, as well as a small passageway that led elsewhere (which I didn't enter because the water went up to my shins, and it was a little too dark.), luckily we didn't even have to exit back through the station, there was a ladder which led to the street above via open pothole. (Doing this in the daytime afforded me the pleasures of seeing peoples bewildered/suspicious/timid looks as we exited the tunnel.)