Not Westchester, but close: if you're in the Palisades in W. Nyack, on the lower level there is a great little Italian place that has excellent gelato (and good paninis etc...)
Actually, the place on Mamaroneck (Classico) imports the gelato from Milan, they don't make it there. It's very good though. I liked hazelnut biscotti.
There's a fairly new place in Briarcliff in the little strip shopping center at the corner of North State Road and Rte. 9A (the one that includes Squires). I haven't tried it yet. Anyone?