It's infamously hard to get approval to shoot in the subways in New York. The city doesn't want people down there, getting in trouble. There's a lot of dangerous electrical current in the darkness.
I visited the location of The Taking of Pelham One Two Three back in '73, while Robert Shaw was filming his character's death by suicide on the third rail. An entire subway station had been commandeered by the film company. A subway car sat idly at their disposal. Shaw had completed a second take just before I was shown into his improvised dressing room. He looked up at me and, it being the first time we'd met, I was startled by how old he looked. Attempting to be tactful, I remarked that he was looking tired. He scowled at me, and the makeup artist urged him to get the makeup off before it began to stain his face. I didn't realize they had put some sort of chemically unstable appliance on him that appeared to shrivel as the current coursed through his body. The first take, he explained, had been pure acting without the aid of the makeup. He had persuaded them to let him try it once that way, likening it to Barrymore's purely histrionic transformation in the silent Dr. Jekyll and Mr. Hyde. The stuff looked pretty gruesome and artificial, and as near as I can figure after watching the finished film, it was the first take they used.
Nowadays, an indie film might get access to the Transit Museum, to use a nonfunctioning subway car, though I'm hearing even that is becoming difficult. But to get into the actual subway, your best option is to go without permission (you can supply the synonym) and "steal" the shot. Tripods are a no-no, and will invite a ticket and the possible confiscation of your equipment.
Guerrilla shoots are a romantically viewed tradition. Larry Cohen made his career on them, and talks with much pride on the DVD commentary track of his film Black Caesar about how he and his cameraman stole all those incredible city-street shots, with bystanders thinking Fred Williamson had actually been shot and was bleeding to death. Sho Kosugi explained to me that when the City of Houston refused to give him a permit for a dangerous stunt, he simply stole it on one of the city's bridges. He did a back flip out of the rear seat of a convertible car, over the top of the truck in back, and landed on the car behind the truck, while a camera car alongside caught the action. It was one of the most dangerous stunts I'd ever seen in a motion picture, and since they stole it, they had to have been totally uninsured.
So, when we considered the options for our subway shoot—a simple scene in which Michael's character interacts with a pathetic bag lady in a deserted station, followed by his ride in the subway car—we decided to take our chances, though we did rent a second, cheaper camera just in case we got caught and it was impounded. We also put together our lightest crew—maybe six people, in two cars—and went out to the farther reaches of the subway lines in Brooklyn, hoping that the cops wouldn't frequent those stations in the mid-to-late evening hours. The second camera cost us $225 for the day, and the shoot went without difficulties. I wasn't there—the producer was considered expendable for a guerrilla shoot like this—but I sat at home anxiously awaiting a phone call informing me of the outcome. There was a close encounter with the men in blue, I was told, but otherwise the shoot went smoothly, and the day wrapped up well before the twelve-hour limit.
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