I've been to First Night twice. I loved the vibe you get from being there, being around all of the people and the seeing the different things going on. But I also remember it being so cold that I left early the first time and the second time I drank so much coffee to keep warm, that I was constantly looking for a bathroom (which is practically impossible). My advice would be wait until about 11/11:30pm, stay for the show at midnight, then go warm up in a nearby bar before trying to fight the crowds on the T.
Pros: exciting
Cons: freezing, crowded
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