It's the capital region of New York State, there's bound to be stuff to do here right? Feel free to contribute new entries or adding more information to existing entries.
Valentines - A small club that plays mostly local music and little-known acts but occasionally has larger national and international bands like Of Montreal in September of 2005.
Pepsi Arena - Stadium that has big and expensive shows if you're into that.
Northern Lights - Club that has gets some good acts as well.
There actually are a lot more food options in Albany.
Burrito bar and lounge. Located on Lark Street in downtown Albany (the next block down from Ben and Jerry's). Home of the biggest (and best) burritos outside of chains like Chipotle or Baja Fresh. We're talking girth -- everything packed and tidily wrapped. Options for all; the BBQ chicken and BBQ tofu burritos are equally excellent. They have non-burrito options as well - tacos, quesadillas, cheese fries, etc - and glorious dessert empanadas and taquitos. All relatively cheap, served in a refurbished sub-street dive. Newly opened bar upstairs. This is the sort of food that is craved and sparks drunken quests.
258 Lark Street Albany, NY www.bombersburritobar.com
--Wait...Okay, if you're from upstate New York, then maybe you think Bombers is pretty good. But I'm not, and I think that it sucks. Yes, the burritos are relatively large, I'll give you that. But they are also practically flavorless, the place is filthy, and there is virtually no parking. If you want to eat something that has at least a tiny bit of flavor it is better to go to Taco Bell in Bennington, for goodness sake. Either that or fly to California.
Unless you're visiting friends at UAlbany and hate good Mexican food, this place should be skipped.
--Some say filthy, I say "has character". It's tiny, often crowded, but a really chill atmosphere and tons of food for cheap, combined with the crazy stickers/pictures all over everything and (if I recall correctly) the foosball table can make for a pretty awesome evening. As for parking, find somewhere in the neighborhood--all of Lark street is worth a look.
 Dim Sum
Ocean Palace, located in Albany (take Exit 2E on 87 South to get onto Central Ave) offers a very extensive dim sum menu during weekend brunch times; they also offer a pretty good selection of authentic Chinese dishes, with a strong focus on Cantonese and seafood dishes--the variety of dim sum available outside of weekend brunch is considerably smaller, however. The place is too small and there's not enough clientele in Albany for them to offer the crazy dim sum carts that you may be used to in big cities, but Ocean Palace is probably the closest you can get to good authentic Chinese food (or Dim Sum, for that matter) when you're sick and tired of Chopsticks or Happy Star.
855 Central Ave Albany, NY (518) 453-6258
A wonderful Italian place in North Troy. My family's been going to it for over 20 years. Try the Pasta Special, linguini with garlic butter sauce, spinach and shrimp. Plus enough for the next day's lunch too.
572 2nd Ave Troy, NY
 Krispy Kreme
The infamous doughnuts are available in Latham, NY.
555 Troy Schenectady Road Latham, NY 12110 US (518) 783-8600
 Getting to Crossgates Mall
Follow all of the same directions that you would to get to Albany International Airport, except do not get off at exit 4 on Rt. 87. Keep going. Take the Crossgates Mall exit (3, I believe) which will take you directly take you to the mall. Although beware if it is a school holiday, a Saturday, or the month of December. Do not take this exit, as it backs up. Take the next one. At the light, take a right, then at the next lihgt take another right. Continue down that street until you see the Crossgates signs on the right and then turn right into the mall.
Albany is a good starting point for reaching other places in the world, with bus, train, and plane options.
The Greyhound bus station can get you started on a long-distance bus trip.
34 Hamilton St Albany, NY 12207 (518) 434-8461
The Albany train station is located across the Hudson River in a town called Rensselaer.
525 East St. Rensselaer, NY 12144
Fly out of the Albany International Airport
737 Albany Shaker Rd Albany, NY 12211