How about A/C in the stations for once? Or turning on the A/C when temperatures are moderate but humidity is high? With low enough temperatures and humidity, a surprising amount of grime and overcrowding becomes bearable.
Instead of AC, I always thought it would be fun to use the heat to do something productive (like make electricity), even if not effect, it could consume the heat?
I'm not sure if using recovered heat from the subway system to generate electricity is economically feasible (probably not). In the end you'd have to eject the heat anyway, probably to the Hudson and East rivers.
Or into the buildings above. Could the heat be used to pre-heat cold boiler water in buildings? Of the low efficiency (but no carbon?) electric could run LED lights or other small electronics. There would be a loss in converting to electric and a loss converting back to heat.
On underground trains, you have to choose between air conditioning the platforms or the trains. It wouldn't be feasible (especially in old systems like New York or London) to do both because of the lack of ventilation (the hot air needs to go somewhere).