http://www.snopes.com/rumors/nysubway.asp
Officials announced a credible threat was received that New York’s subway may be the target of a terrorist attack Oct. 7-10, 2005.
Late in the afternoon of Thursday, October 6, 2005, Mayor Michael Bloomberg of New York City and Police Commissioner Raymond Kelly announced the FBI had shared a “specific threat” with New York officials against its subway system. According to Mayor Bloomberg, there were indications that a terrorist attack on the subway system was in the works. Chief Kelly said the city “may be the target of a terrorist attack in the coming days,” and asked the public to report suspicious people or
activities…
While the threat is being taken seriously, the NYPD is urging the public not to be alarmed because while the source is credible, the information has not been verified.

