The thing you don't want to do it breath in radioactive dust from the blast. Thus, I keep N95 dust masks on hand.
Well it will protect you from breathing particles, it will not protect you from the radiation it self (will build up on/in the mask) and it will require proper handling and decontamination. So toss in soap, towel and spare clothing in a gastight bag.
I have not come up with a good answer to dealing with chemical contamination. Maybe assume that the chemical agent is heavier than air and try and bug in on a high floor of the office building for a few days? I could get 40-stories up pretty easily. No idea how I'd figure out that I needed to do that, however.
There are way to many chemical agents, all with different properties. Some are heavier than air, some lighter. Some will be blown away by the winds, some are nasty stuff which can stick for weeks.
That said, I don't see a chemical attack in the subway working out well for anyone caught in the danger zone. I just don't see me calmly donning my gas mask while everyone around me calmly dies. I suspect I'd be fighting for my mask the minute it comes out of my bag.
You probably won't know your in a chemical attack on time, to put on the mask. Well maybe you will get the mask on, but by that time you probably to late.