I had asked the same question a few months ago and someone told me about Over the Moon Music. It's great. It's singing, dancing, and playing instruments for 45 minutes. My daughter is 5 months old and is one of the youngest in the class but she still enjoys it and it's good together time. Dads can go too and they have weekend classes. There are a lot of locations in Westchester so you can find one that's near you. The website is http://www.overthemoonmusicandmore.com/index.htm
I also love Mommy and Baby yoga at Destination Maternity in White Plains. Class is on Monday and Thursday at 11:30, though, so that might not work for you.