You'll have to travel significantly farther than Woodstock for the best cider donuts around, but they are well worth it. About 20 min North of Albany is Lakeside Farms. Still haven't been able to find any donut that comes close. Especially on fall weekends when you can get them hot and fresh from their apple cider donut trailer all day long.
Lakeside Farm and Cider Mill in Ballston Lake NY