MSG, then NJ, then Barclay's.
MSG is easy to get to, recently fully remodeled, good food.
NJ plays in a dump called Newark. I went to law school not far from the arena (before it was built) and it's a ghetto dump. A few blocks around the arena were made slightly nicer since it was built, but don't venture too far alone. The arena itself is nice and very modern.
Barclay's wasn't supposed to be a hockey stadium. The project originally was for a hockey and basketball team, but became very expensive and they figured they can cut costs by something like $150 million if they forgot about hockey. They built an arena unfit for the NHL. Then the Isles moved in. About a fifth of all seats are bad seats. Behind the net, whether you sit low or high, you can't see anything below the blue line, so either you're watching the far away net or nothing at all when the puck is near the closer net. Basically, you pay to watch the TV screen in the arena.