The Station Agent starring Peter Dinklage is one of my wife's favorite films, and so after a little bit of research I found where the most important locations from the movie were. We took a little day trip to New Jersey and I surprised her.
The train station in which Finn lives is just off Route 23 in Newfoundland, on Green Pond Road, where it crosses the railroad tracks. A really nice couple is restoring and renting it out. Help them out if you can!
The other two locations are in Rockaway. If you continue south on Green Pond Road (Route 513) you will reach Rockaway in about 10 miles. You'll cross under Route 80 (this is exit 37), and then go straight on Halsey Avenue where 513 splits to the right. This will take you right up to the beautiful spot above, where Joe and Finn watch for trains to pass, along Jackson Avenue by the river.
The Mill Lane Tavern, their watering hole, is right around the corner at 8 Mill Lane. Continue west on Jackson Avenue (Right), and then left on Main Street. Cross the train tracks and take a quick left onto Mill Lane (you'll see the tavern right there.)
I hope you enjoy it as much as my wife did!