In subway-commuting mode, I carried (will carry?) an older-model Land's End "Vertical Briefcase". This looks like a million other commuter shoulder-bags, works much like a bike messanger bag, but it has a zippered panel with padded shoulder straps behind it, if you want to convert it to a rucksack for going distances.

I've never had to use that capability (thankfully, I never had to walk home- that would have had implications about what was going on in the city), but it was sort of nice to know it was there.