At all costs, avoid the student ghetto (area near western avenue in downtown part)! I went to school in Albany and work there now (about a 30 min commute for me).
Glenville Beverage has an awesome selection of craft brews. One of the best in the area - Glenville Beverage - Scotia, NY - Reviews - BeerAdvocate
You won't be disappointed in hiking. Some great places to go locally -
Thatcher Park - LocalHikes - Thacher Park - Cliff Top & Indian Ladder Trails
Christman Sanctuary - LocalHikes - Christman Sanctuary
If you want to drive out further, there's always the Adirondacks high peaks as well as Schohaire Valley. Since I haven't attempted the high peaks yet, here's some of my favorites:
Vroman's Nose - LocalHikes - Vromans Nose Loop Trail
It's a great place to go for Fall colors. Super quick, about 30 mins to complete and the Carrot Barn is near by. One of those farmer market-type eateries that serves sandwiches, doughnuts, and yes, carrot cake!
Vanderwacker Mountain. Really awesome views of the high peaks and crazy amounts of dragon flies near the fire tower. LocalHikes - Detailed Hike Information