Yankee Stadium is a baseball facility located on 161st Street and Riverside Avenue in the Bronx, directly across the river from Manhattan. Incidentally, the Yankees play here. The current stadium actually opened in 2009, and is the most expensive stadium in the world. Consequently, tickets are insanely highly priced, although it is rumored that you can get $5 tickets through Columbia.
Walk over to 110th and 8th Avenue, then hop onto a Bronx-bound B, D, or 4 train. Get off at 161st Street-Yankee Stadium.