A couple from the train lines which I like are:
"Mind the gap."
In Chicago, we actually have a Britishesque sign at one subway stop which reads "Way Out."
But the absolute best are these spoofs from a woman who is the "Voice of the British Underground." She did a series of spoofs, for which she got fired recently:
The Voice of the London*Underground - FRONT PAGE - PlentyofFish Dating Site Reviews, Free Boat Plans, Myspace Flash Layouts