Jay is a town in Essex County, New York, United States.Lumber production and iron ore extraction were important to the early economy of the town.[2] The northern town line, partly defined by the Ausable River, is the border of Clinton County.New York State Route 9N is a north-south highway through the town, following the course of the East Branch of the Ausable.New York State Route 86 leads west from NY-9N at the hamlet of Jay.