In English, you mean? It depends on where you are. In the US, "subway" is the generic term, but some cities call their subway the "metro." (I always say "subway" unless I know I'm in a city where it's called something different.) I think it's similar in Canada, but there seem to be more cities with "metros" there than in the US.
I'm not sure about other English-speaking countries. They say "tube" and "underground" in the UK, but I don't know if they ever say "metro" or "subway," or if the preferred names vary by city. (And I have no idea about Australia and New Zealand.)