The subway cars I've ridden on have push-out windows on some of the windows and a lever that will open the subway door. One or both should work; the windows are tough to break. One side of the tunnel (or bridge) is designed for evacuation, so you need to stay oriented to which side you need to get out on. In theory, there are emergency lights, but this is where you want your EDC light handy in your pocket. After you are out on the right side, then walk carefully, avoiding the third rail (hope power is off, but...), to the closest station/exit. Of course, one direction may be blocked or worse, have a fire.

Best advice I have is to take a close look at the system you are on and understand their own safety measures/rules. If they aren't obvious, ask....and modify your EDC kit accordingly; e.g., you may want something that could break open a window.