I live in LeRoy, about 10-15 minutes from Batavia. There are quite a few games store in the area that are worth checking out. I personally play at Millennium Games in Henrietta but there is also Boldo's Armory and Pair a Dice games in Rochester.
Millennium has open
40k gaming every Tuesday night and Saturdays. They also hold a tournament every 2nd Saturday of the month. While
40k is the biggest draw in the area, there are some dedicated
WHFB and
LoTR guys that play at Millennium as well.
Best bet to find and setup a local game is to go to the DaBoyz forum and introduce yourself. There is a pretty decent sized community in the area in Rochester.
DaBoyz Forum:
http://daboyzateam.proboards.com/index.cgi
Also, I know that there is Jester Cap's game in Lancaster but I have not heard much about the Buffalo gaming scene. I do know that 5-6 Buffalo guys do make the trip to Millennium for the Saturday events.