Long Island and the Southern New England Coast
Welcome aboard the RoadTrip America Forums!
First, it's almost impossible to recommend a good B&B. There are simply too many of them and too few of us to offer any meaningful information. Then there's the fact that the best of them don't tend to last very long. It's just too much effort and too little reward. The two best that I ever stayed at in New England were out of business only a couple of years after my stay. Your best bet is to just do what my wife does, do a search on 'townname bed breakfast' and pick something that appeals to you. She tends to pick on the basis of decor, figuring that someone who takes the time to decorate well (and in a style she likes) will do other things that she likes as well. That approach has worked well for us.
However, you are going to be driving through some wonderful places. After visiting the Hamptons, continue out to Montauk Point and enjoy both Hither Hills State Park and especially Montauk Point State Park. Then double back through Sag Harbor and take the ferries onto the southern end of Shelter Island and off the northern end up to Orient Point and the main ferry from there over to New London (reservations may be in order), thus saving yourselves the hassle of having to drive back through New York City. Heading along the southern New England coast from there to Cape Cod, highlights would be the submarine museum in New Groton, Mystic Seaport, the Pequot Museum, the 'Cottages' in Newport, and the Cape Cod National Seashore.
AZBuck