Whoa! I didn't know this! The New Yorker Hotel across the street from Penn Station still has remnants of an old tunnel that linked the hotel to the passenger terminal of Penn Station. Today, the tunnel is just a storage space for building supplies but portions of the tunnel's past use are still visible like tile work and the door that would have led to Penn Station itself. Pretty neat!
Unfortunately, this area of The New Yorker hotel is closed to the public so the best view you'll get for now is thanks to Untapped Cities.