I've always been a bit scared of the subway, as I have this fear of falling down (or getting pushed) on the tracks. But I suppose you're right, there's something different about going down to the subway, something you don't get with any other transportation..
I love them. Some of my favourite photos I have taken are from subways and some very memorable conversations and experiences with strangers. Helped by a non-English speaking Russian couple in St Petersburg get to where we ere going after tunnels were closed, getting to know a French medical student in Paris, Singing with strangers in London after they found out I was Australian, crushed in Tokyo like sardines, Honeymoon adventures in Milan. I have been lucky to travel and subways feel like home.
The funny thing is, where I am from, there is no subway.