In New York City nomenclature, they are (optionally) called “trains” prefixed by the number or letter of the route:
- the one (train)
- the nine (train)
- the A (train)
- the Z (train)
- the AirTrain (special train to JFK airport)
Best use the short form. New Yorkers will get impatient listening to all those extra words.
More commonly, New Yorkers simply say the number or letter:
"Take the A uptown (from West 4th [Station]) and change to the 7 at Times Square [Station]."
I have no idea what any of this means in English. I have never ridden or been near a subway. In America, subways and trains really are rarely ever used except in a few certain cities.