most nyc cab drivers wouldn't be caught dead picking up a passenger straying from the penn station taxi standlines, so don't waste time trying to find a cab, go straight to one of the two taxi stands
Pickpockets are an urban legend... most people lose their wallets. 99% of the food/drink vendors offer overpriced low grade food, go outside and you'll be served much better.
Penn Station is the major intercity train station and a major commuter rail hub in New York City. Serving 300,000 passengers a day at a rate of up to a thousand every 90 seconds, it is the busiest passenger transportation facility in the United States and by far the busiest train station in North America.