Do you have a particular area of Westchester in mind. Here is a link on a similar subject...... http://chowhound.chow.com/topics/604286
There is also La Tulipe in Mount Kisco.... http://www.latulipedesserts.com/
also in Mount Kisco is Lanjou Patisserie Francaise ...phone 914-242-4929
in Pleasantville there is Bisou Patisserie and Cafe, I've heard good things about their pastries but know nothing about their cakes.
If your looking for cupcakes then also in Pleasantville is Flour & Sun Bakery...... http://www.flourandsunbakery.com/
In Armonk there is Perfect Endings Bakery...... http://www.perfectendingsbakery.com/
There is also a bakery that a friend of mine just used recently out in Yorktown, but I can't think of the name, I will ask her and post back.