I used to travel from Philly to NYC frequently. I did most of what Sabremike did.
Philly (30th Street station) - take the line to Trenton (r2? r6? Septa, I forget). Transfer to Amtrak/NJ Transit in Trenton. Takes you right into NYC (Penn station). That is the cheaper option, with more time tacked on. They usually hold a train to wait for this transfer. You just go up the steps, down the other, and right on to the next train. Stop at a Kiosk if you didn't get both tickets ahead of time.
The quicker route is taking the train straight from 30th street station to Penn station. Quicker, but more pricey.
Any route that gets you to the Broad Street Line works. Broad Street line will take you straight to the stadium.