LOL, I take the subway just about every day. I will admit I've seen a lot of rats, even one that came straight up to me. On the whole, it's just like Sue said about the NY subway system: be aware of your surroundings, know where you're going (or at least look like you do), and keep your valuables safe if you have to have them. There's a reason I don't carry a purse, but keep my wallet in an inside pocket.
There are a lot of the same people who ride the same trains every day, so I've made some good commuting friends over the years, too.