NYU is right near you, and it's one of the best film schools in the world. But if you're in NJ, I want you to also check out Rutgers New Brunswick. They offer their film major in their visual arts department. Rutgers NB has a great - a very strong - rep in the arts, and while their film dept. may not be as prestigious as NYU, they are good. And because you're a NJ state resident, it's be a bargain, relatively speaking.
Keep in mind that you will apply for financial aid, no matter where you go to school. Still, it's smart to keep your costs down, and thus Rutgers NB is a place I really want you to look at.
Other schools with good film programs near you are Columbia and SUNY Purchase. Fordham's also good.
Columbia is expensive, but if you can get in there, they have *amazing* financial aid.