Generally subways built near water are below sea level. I have no link for that. I just am pretty sure it stands to reason. The subways in Chicago go below the Chicago River. I am pretty sure they are lower than Lake Michigan. After all, presumably the city is built a little above sea level, and the subways are . . . you know . . . below that.
Amsterdam, like New Orleans, is actually below sea level. Were the dykes (that'll increase my search-engine driven traffic) and other flood control methods to fail, much of the city would be inundated by the IJ River and ultimately the North Sea. That's why this story is fascinating. The Dutch are building a subway in Amsterdam. The city is apparently basically built in pylons driven into the sand with homes built on top of the pylons. Thus, it is crucial as they dig the subway that they not rip through the pylons, since this would cause the structure to collapse. Therefore, they are using mirrors and lasers to measure movement to half a milimeter as they drill. Seems like a lot of trouble for 2.4 miles of subway.
Oh, and how were other subways built? Much more simply. See here for pictures showing that lots of New York involved just removing the street, building the subway, and paving over the top. Chicago did the same thing.