1 Penn Plaza
If you live in the Manhattan area, you can take the A, C, E train, or actually N, R, Q train then walk from the Avenue of the Americas (6th). There is a red sign for the building. The guards are not so nice - so have your IDs ready and be polite.
This is a computer based test center. The password to access the bathroom on the 17th floor  I think is 1234.

Wall Street
55 Broad Street, where paper-based and most EA and FSA exams are held. Very nice location and huge auditorium. Must be used to sitting with hundreds of people or you'll be intimidated. Nearby lunch location include Cosi, or simply five dollar chicken over rice. Very nice view of battery park.