The underground stations tend to be warmer than outside, so the big problem is summer. The 125th St. stop on the 1 is  utterly brutal on a cold, windy, winter day. Several stories up, smack in the crossroads of two wind corridors, brrr. Though you do get nice views over the river and all across Harlem. In general the subway's got a sort of retro industrial grunge esthetic - the grime, the rats, the peeling paint, the chipped mosaics, the exposed I beams. It grows on you. Back when I lived in DC  my visiting friends would mock the Metro with its clean polished granite stations and carpeted cars as antiseptic and characterless. Didn't get it then, do now. Plus rats on the tracks beats rats on the sidewalks any day; and they provide a nice distraction while waiting for a train.