I booked in advance using Ticketmaster in 2004 and managed to get 4 seats, in 2 separate parts of MSG. Then again in 2014, didn't pre-book just went to the foyer in MSG and bought 2 tickets that were available for the match on that day, I got lucky that time I guess!
Take your passport in with you if you want to drink alcohol, they can be fussy and they don't accept your drivers license as a valid form of ID.
Have a great trip!