There's a story about some "secret" train tracks that run underneath the Waldorf-Astoria on Park Avenue. One version goes that the tracks were built specifically for Franklin Roosevelt. Supposedly he wanted a private track that ran directly to a platform in the basement of the Waldorf-Astoria, so he could avoid the public embarassment of being loaded into his wheelchair at Grand Central. This isn't true, the tracks were there before either Grand Central or the Waldorf Astoria were built. It is true, however, that he used the tracks occasionaly, along with a few other important public officials. Andy Warhol used the platform in 1965 for an "underground party".
I looked to see if I could find any evidence of the tracks. That's the Waldorf-Astoria on the left, below. We're looking south. Park Avenue is on the right, and Grand Central is behind the Met Life Building at the end of the street.
On 49th Street, around the corner are a couple of doors. The one above on the left opens to a stairway that leads down to the platform. I started peering down through grates in the sidewalk to see if I could spot the tracks. I think I found them underneath the grate on the left- you can see the picture below.
You can read more about the Waldorf subway platform here: http://www.columbia.edu/~brennan/abandoned/gct61.html