But for now, I found a great review from someone who has already made the trip. Matthew Loiacono's blog "the view from here" gives you detailed instructions, tells what to expect:
How to Travel from Albany -> NYC for $1 Each Way
The MegaBus site has this notification, which is a change of pick-up location (Matthew's review describes the old location):
The bus stop in Albany/Rensselaer has been moved. We are now picking up in the North Service Parking lot of the train station. The entrance to the parking lot is off East St, just North of Wendell St on the West side and this lot can be accessed from the train station.
Matthew Loiacono is a local musician, so while you're on his site, take the time to listen to a few tracks. It's very cool stuff! (Traditional instruments like mandolin and banjo with modern technology and sounds.) If you get to his site before the end of the year, you can download a free live album.