There are actually a number of pretty good options in the Albany (ish) area.
As the previous poster mentioned, Bruno Tostes runs a Renzo gracie affiliate that is well regarded in the Latham area.
There is also Upstate BJJ run by Ryan Clark and Brian Beaury who are both solid Black belts
http://upstatebjj.com/
Also in Albany is Evolution MMA, which is sort of Jiu Jitsu / Judo hybrid, also offers kick boxing once or twice a week (probably one of the cheaper options)
http://www.teamevomma.com/
Over Schenectady way, there is upstate Jucao, which is a small friendly club, run by a Ailson Brites "Jucao" Black belt - a lot of huge higher belts there.
http://upstatenyjucao.com/
If you want judo, can't go wrong with Jason Morris's school in Glenville, he coached the Olympic team a few years ago I believe, and he has some absolute beasts over there.
http://www.realjudo.net
and up in Saratoga/Malta area you've got two pretty good options as well,
Spa City BJJ is in Malta off of exit 12, and has a good reputation, though I've never trained there.
http://www.spacitybjj.com/
and an Alliance affiliate is in Saratoga itself , also offers Kyokushkin Karate - I've rolled with the instructors and they are very good.
http://www.saratogaiku.com/bjj.html
Phew!!
So I think that is all of the major places to train in the area. So you have quite a few options depending on how far you are willing to travel, where you are located, what your goals are etc.
Peace.
