From the MSG Web site:
Video cameras, monopods, tripods, audio recording devices and cameras with telephoto or zoom lenses are not permitted inside Madison Square Garden at any time. This policy will be strictly enforced. You may bring in a disposable or 35mm camera (with no zoom or telephoto lens), however, for some events, cameras of any type and/or flash photography may be prohibited.
The issue that always comes up in these situation is, if you try to "sneak" something in and are stopped at the gate, you'll have to haul it back to your car. Then, you'll not only probably miss some of the game (and NHL games are NOT cheap) but you'll most likely be worried about leaving your gear in your car.
The question I always end up asking folks is: "Is it really worth bringing your expensive equipment into a pro arena to shoot from your seats? The images you're gonna get are going to be poor, at best. Why not just bring in a P&S to shoot your group, not worry about sneaking anything in, and enjoy the game?" But that's just me.