I think that CA opens at either 6:00 am or 6:30. Too bad you didn't post about 2 hours earlier, as I was just at Penn picking up my tickets for the July OTOL Eagel Fest. I could have checked while I was there, had I known.
Penn Station, unlike Union Station in Chicago, never closes. So you can certainly hang out there, even though most of the stores and food places will be closed. There are a few 24 hour movie theatre's in Manhattan I believe, but I have no clue where they are.
If you decide to venture out into the subways, I'd avoid ones that run into the Bronx and I'd stay away from the number trains in Brooklyn. The letter trains, except perhaps the A train, in Brooklyn run to better places overall. Even then however, I'd make sure that I was sitting either in the conductor's car or the head car with the engineer.
Perhaps a better choice would be a ride on the LIRR, assuming that you don't want to remain in the station. Of course even on the LIRR, I'd probably suggest riding in the cab car, especially of course in you get an M3 that still has a railfan window.