Despite the recommendations, and being under a bridge, Golconda kind of sucks when it rains. It's all downhill so water runs in and puddles, plus the surface is slick as shit and is super treacherous if at all damp. There are a lot of parks under bridges (or partially under bridges) and all of them stay somewhat dry if its just a light rain or flurries. As also mentioned, while it totally sucks as a skate park, St. Mary's tends to stay dry even in bad weather. I spent a lot of last winter just skating the flat there.
You can normally find some patches of flat under most bridges so I'd suggest just exploring and finding the closest rain spot to you.
It's been rare that you can't skate the parks though. Most parks have locals that will shovel them out pretty quickly. For example Astoria was skateable two days after the blizzard last week. Its the bowl parks (Chelsea and Owls Head) that can get shutdown for months if no one gets in there to clear them.
As mentioned Skate Brooklyn does have the indoor mini and there are some others you may be able to get in to occasionally but in terms of indoor parks Substance is it. The main park is a(small) vert ramp, a bigger mini and a small "street" section around the edges but he just got a second warehouse across the street that is much more the "big open area with some random obstacles" kind of spot right now.
Worth mentioning is also 2Ntr. It's like an hour train ride/cab from station to the park north of the city but we normally take a trip at least twice each winter.