The Rochester Industrial & Rapid Transit Railway, also known as the Rochester Subway, was constructed 1922-24 out of the old Erie Canal right-of-way in downtown Rochester.  The subway opened in 1927 and stayed open until 1956.  Portions of the tunnels have been filled in, but these photos are from along South Avenue, just south of Court Street.

More information: http://www.rochestersubway.com/rochester_subway_history.php

Location: Google Maps (43.153165, -77.607818)