piper, not true. Long Island Bus routes N87 & N88 go to Jones Beach from the Hicksville & Freeport LIRR stations, respectively.
They haven’t posted their 2009 schedules yet, but, as its Memorial Day this weekend, I have to imagine they will any day:
http://mta.info/libus/jones_beach/jbeachindex.htm
However, the buses don’t run late enough for the timing phg posted. Assuming its similar to 2008 schedule, the last bus was ~10:45 or so.
On the other hand, i do have a friend going from another area who will have a car, and could give me a lift back to the station afterwards. But if it takes a decent amount of time to get out of the lot, I may not make it back to Penn Station in time for the last NJ train. If the shows really do run that late, it’s probably not worth the risk.
If you’re going back to NYC or anywhere on Long Island though, its a definition option.