Granted it's hard to beat NYC. As Wired pointed out awhile back: "It's got 468 stations, 842 miles of track and twice as many daily riders (5 million) as every other rapid-transit system in the United States combined." That said, Hong Kong, Shanghai, Paris, & London are all pretty darn impressive. Check them, and several others, out here.
And as good as these subways are, Crooked Brains has a post on Subway Stations that could be even better. Check it out!