I have occasionally gone out to Georges Island in Boston Harbor, where there is a civil war era fort that has a great big, underground brick lined magazine with a single door to enter.
I have taken my saxophone out there and played inside it...it feels like you are inside the music!
It is a wonderful experience making music in the subway. You do feel like you’re inside the music, that is a great way of putting it. I just purchased a cornet and look forward to noodling around with that in the subway, too.