Here on LI, the only place I can think of to do any serious off-roading is the beach. You need a permit from the state parks commission for the few places it's allowed.
And I don't think you should try anything too ambitious. I've heard of much more capable vehicles than the Pilot getting bogged down. Low gearing (and experience) is a must in loose sand. Just a few spins of the wheels and the chassis is sitting on the the ground. Bring a tow rope so some of the other guys can help you out while getting a few laughs from the neophyte.
Edit: You ever see those Land Rover commercials that show the rock courses at their dealers. I wonder if you can get in there while the place is closed and tool around a bit.
