If you've taken the train up from the city and ended up in Poughkeepsie, Cafe Aurora is a hop skip and a jump from the Metronorth station. It has great Italian pastries and is a pleasant place to have a cup of coffee. There are a lot more bougie places to get sweets in Duchess County but there aren't many more authentic places.
Also, Babycakes across from the Vassar campus has some great pastries. If you don't mind rubbing shoulders with some college students, the almond croissants are particularly good.