In St. Petersburg they have almost the deepest subway in the world, according to wikipedia: "The deepest metro system in the world was built in St. Petersburg, Russia. In this city, built in the marshland, stable soil starts more than 50 metres (160 ft) deep. Above that level the soil mostly consists of water-bearing finely dispersed sand. Because of this, only three stations out of nearly 60 are built near the ground level and three more above the ground. Some stations and tunnels lie as deep as 100–120 metres (330–390 ft) below the surface. However, the location of the world's deepest station is not as clear", however one of the St. Petersburgs stations is the world's deepest one.
What a cool machinery they use when make dig for new stations: