It not only depends on the city and etc., but, as someone mentioned way above, which line. When you're talking about cities like NY, London, Paris, Moscow, the train systems go back so long that there are all different types of construction involved. There are the oldest lines - in some cities running around 150 years old at this point I believe - and then newer. New York is currently digging an entirely new line. The way the stuff is built up will vary on when it was put in. Sewers can be expanded or rerouted with population growth as are transit systems.
Some lines are way farther underground, some above entirely in spots, etc., etc.
During Sandy, the stations that flooded were at the very lower tip of the island, where the water table is held back by big bathtub walls. Uptown, where that's not the case, the trains flood because the grates on the sidewalks above let rain onto the tracks and the electricty gets messed with - but that happens on the regular in lots of big nor'easter rainstorms and it's not any big deal. That's not about the stations at all.