It’s not just New York City folklore, there really is a secret train station located underneath the Waldorf-Astoria. I’ve never seen it and you probably won’t either but here’s a chance to see some great photos of the station and the famous FDR train. My friend Gail, sent me this article in The Gothamist: Take a look! http://gothamist.com/2011/11/07/photos.php#photo-1

The FDR Train
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