Planes

Westchester County Airport (HPN) is the closest and most convenient option
JFK and LaGuardia (LGA) are slightly further but offer more optionality
Newark (EWR) is the furthest from Greenwich

Trains

From Grand Central, take the Metro North New Haven line to Greenwich station. It's easy to grab a taxi or Uber from the station
The closest Amtrak station stop is Stamford, CT

Automobiles

Greenwich is located off of I-95, exit 3

The Merritt Parkway is also an option