I've only really been through NYC so my favorite subway stop is Penn Station. Does that count? There's a stop in there. Anyway I like all the stuff about Penn Station that everyone else hates. It's like a Shin Megami Tensei dungeon.
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Grand Central is kind of cool and I've been there a bunch of times.
No shade on Grand Central. Very nice building, good tourist stop. The famous great hall feels kind of empty though, I like the densely packed utilitarian commercial vibe in a busy station.
