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Montauk
It is. This is actually where we stayed in off-season (well just down the road). It is nice, and close enough drive to East Hampton (the nicest bit imo).
The problem is that as soon as summer comes it's brutally expensive. I mean it's nice, just not a-grand-as-a-couple-for-the-weekend-nice.
As another fun fact I'm pretty sure it's where Betty Draper of Mad Men family summer house was.
Montauk was a very good novel and the place sounded nice. Have not visited, however. I have seen a documentary on The Jersey Shore that leads me to believe that it isn't the place for me.