I've used the subway every time I've visited NYC (though not a huge amount because I really enjoy walking through the city when I'm there). The only slightly scary time was when I had a late flight into JFK, around 20 years ago.

First, I got on an empty train. A few stops later, someone got on and started having a loud argument with herself. She stayed at the other end of the carriage though, so not too worrying. Directly outside the window at the next stop, someone was being handcuffed by the police. No idea why, they train didn't stay there long, but it wasn't a great impression.

But the actual scary bit was when I arrived at Bowery (which, I subsequently learned, is the least-used station in the entire network). The station was completely deserted. Not just a few people, literally no one except me. No staff, no other passengers. And the exit was blocked by a locked gate.

Fortunately, there was another poorly labelled exit somewhere else that was still open and I did escape, though I didn't appreciate the extra distance with a heavy suitcase.

Much more scary was reading that the street outside my (very cheap!) hotel exploded a few months after I was there. It had one of the old steam heating systems with a boiler shared between multiple buildings. It turned out this was decades past its rated operational lifespan. When it finally exploded, it took out a big chunk of road. Fortunately, it happened at something like 3am and no one was injured.