There *is* good sailing in the Hamptons. In fact, the only windsurfing shop still doing business on LI is in South Hampton (
http://www.w-surf.com ). However, there are beaches which require a resident parking sticker, and beach traffic can be a beast on weekends. You can ask Jon Ford at Windsurfing Hamptons for guidance on sailing sites.
Personally, I think that Nappeague Harbor (Ammaganset) is the single best summertime sailing spot on Long Island. There is a huge 'walking sand dune' on the east side of the harbor which is slowly migrating further east because of the strong prevailing wind (it makes a great hike to walk over the dune and see the forest it is engulfing). However, I rarely sail there because I live 40 miles away, and it would take 3 hours to get there on a weekend. If I lived in East Hampton, though, I'd sail Nappeague every weekend. Actually, if I lived in East Hamptons, I'd be independently wealthy, so I'd sail Nappeague every day.
Where are you coming from and what kind of sailing do you have in mind? Maybe I can recommend some sites?