There are a few. One I recommend is Mercato on 39th street. Another one I recommend is L'Amico on 6th Ave, next to 31st street or the next street down heading south, we stopped on the subway on the 28th street stop, heading north, nope we crossed two so it is right next to 30th street crossing. Those are two closes, but if you mean right next to Penn Station, then go with DP recommendations.