There are lots of great credit unions based on Long Island but their branches are usually highly localized. While most are open to members living in both Nassau and Suffolk counties, they usually have branches located in just one of those counties. Definitley check their branch map if you must have something nearby.
I've been with Teachers FCU for almost 10 years and have been very happy with them. They only have branches in Suffolk. Bethpage FCU is also great and is one of the few that have branches all over LI. Whichever CU you end up choosing make sure they participate in the "shared service center" program. Then you can pretty much walk into any branch, of any local credit union, and do business there as if it was your home credit union. The CU will usually have the logo posted somewhere on their website.