A few of the L stations in Chicago (such as Cumberland), in the median of the Kennedy, Eisenhower and Dan Ryan, are exactly the same - I was surprised by how they were wide open, with only a partial roof to protect against the elements.
Even in the Duke of York, which is on Prince Arthur, you can feel the subway trains rattling quite well from the top floor of the bar. And this is a pub, with the quieter subway muffled by a tunnel and several floors.