If you don't drive or catch a ride from the train/bus stations a ways away from town, you can fly into the tiny little 2-gate airport on a very small little plane like I did. Really isn't very much fun but it gets you there.
There is no 'best way' to get to State College - it's equidistant from everywhere, close to nowhere. Direct flights go to and from Detroit, Pittsburgh, Philadelphia, or D.C. Your next best option is by car - along I-80, or via Harrisburg.
Campus buses are free, as is a town loop. Otherwise, the main shopping district and University are walkable.