The London Underground has been featured in PC games before (disused station ((Aldgate - correction)) Aldwych(!)), is in a Lara Croft game) and I'm sure there are tons and tons of games that I have missed, but Jon Choo emailed me about the soon to be released Hellgate: London which has strange demonic creatures prowling London and the Tube and blasting the hell out of each other. A review of the game in PC Gamespy says:
"London turns out to be the perfect city in which to set a demon-infested dungeon crawl. This sprawling city has seen its share of disasters, and it's been rebuilt again and again since Roman times. Aside from the baffling mix of centuries old architecture, London also boasts multiple underground networks. Everything from Roman aqueducts to a mail train network to the famous London Underground and World War II bomb-shelters. These sprawling underground networks make for perfect dungeons."
The makers of the game Flagship also agree: "Set in the near future, London is caught in the aftermath of a demonic invasion. Mankind has been driven into the sanctuary of the Underground in order to survive, desperately hoping to one day regain a foothold in the rapidly decaying world above."
You can see a video clip of the Hellgate:London here (Quicktime). From a first person view you pass a bus stop with the London Transport roundel on it, then go into the Tube system, down an escalator where you face the demons on the tracks.