Madison Square Garden, or, The Garden as New Yorkers say, is located at 2 Pennsylvania Plaza (also known as Penn Plaza).   

Madison Square Garden is known as the "World's Most Famous Arena".  Madison Square Garden is home to the Knicks basketball team and the New York Rangers ice hockey team.  Madison Square Garden hosts over 600 events a year including:  The Grammy Awards, rock concerts, wrestling, Westminster Dog Show, antique shows, Ringling Brothers and Barnum & Bailey Circus, boxing matches, and the list goes on and on.

Phone number:  212-465-6000
There are plenty of parking garages and parking lots in the area. 
You will also be close to Macy's Department Store, Penn Station and the Empire State Building.
Prices for events vary. Tours are available (for a fee).

Recommended hotels in the area of Madison Square Garden: 

Pennsylvania Hotel
Directly across the street from Madison Square Garden on 7th Avenue.

Moderne Hotel
55th Street and Broadway

Affinia Suites Hotel
371 7th Avenue

Thirty Thirty Hotel
30 East 30th Street

The Hotel Wolcott
4 West 31st Street between 5th Avenue and Broadway

There are many more hotels near Madison Square Garden, this list is some of them. Click to search.