NYC vs Northern NJ (or Other)

[Michael S.]

Living in NYC, I'm blown away by the cost of real estate in this area. I've also been blown away by the rate of appreciation for some homes in this area (the last place I rented in Jackson Heights increased it's value by 50% over the past 3 years). 

Knowing that NYC is a tenant friendly state, what are your thoughts on purchasing rentals in NYC vs. Northern NJ? Are there other nearby states that make more sense for a first rental (CT, DE, PA)?