Today its helvetica, but that was not always the case.. see this article for more - The (Mostly) True Story of Helvetica and the New York City Subway. read more
The first “signs” in the New York City subway system were created by Heins & LaFarge, architects of the IRT. In 1904 they established the now-familiar tradition of mosaic station names on platform walls. The name tablets were composed of small tiles in both serif and sans serif roman capitals. read more
As far as the New York subway is concerned, I did a couple of fonts based on 1930s era mosaic tile signs: Downtown Tessie and Midtown Tessie, Tessie being a familiar form of tessera, to denote the mosaic bit. read more