Metro Arts and Architecture is a great site that features photos of and links to sites on different cities' Subway and Metro stations' architecture and artwork:

Subways need not be boring or dreary! Many operators of metros, subways or underground railways want to attract more passengers with good station design. This often means extra effort and higher costs for the metro operators but it seems to pay when a metro is more than only a means of traffic but something the population can be proud of.

Read below which metro systems double as the world's longest art galleries and in which cities you can see stunning underground palaces, museums, aquariums, an ancient chapel, the world's first example of computer-generated architecture and other kinds of interesting things in subway stations.

I've only been on a couple of the Subways mentioned on the site, but it seems I didn't pay enough attention to my surroundings. I'll definitely need to return with a more discerning eye (and a camera)...