There was a metro level in Duke DC, was that it? That actually lead to a secret time travel level that was pretty sweet.
Now that I think about it, I guess most of the Duke it out in DC levels rank as my favorites though some of them were clearly rushed in design.
Episode 3 of the original campaign does indeed feature an excellent level taking place in a subway, as well. It's called "Rabid Transit"
And man, I really hope Sunstorm's Duke 3D expansions come to GOG some day. I'd love to try them, especially after seeing the excellent work they did with Blood's "Cryptic Passage".
I'm going to avoid Duke 3D and say my favourite Duke level is Duke Burger from Duke Nukem Forever. Such silly fun.
I recently played the Duke Burger level in 3D's "Plutonium Pack", which is also a lot of fun, albeit pretty damn difficult.
I agree, it is quite a kick in the balls.