The terminal is in Liberty State Park, faces lower Manhattan across the Hudson River, and is about a mile north of Liberty Island. Today Liberty Island Ferry tickets instead of train tickets are sold at its ticket windows and it serves as a waiting area for those ferries. This has probably kept it from the wrecking ball.
Using pictures, let me walk you from outside the front of the depot to the back where the trains came in.
In the clip from the movie listed at the end of this essay, Barbara Streisand runs across and sings in this long room years after the trains actually stopped running.
Here is one of the gates.
The Barbara Streisand clip from Funny Girl shot partially in the Terminal years after the trains stopped running is here:
Side NoteTo the north of the head house is a 9/11 memorial. These two pictures are self explanatory.
Note: Wikipedia supplied many of the facts in this essay.