In 1966 the Toronto Transit Commission opened a new subway station beneath what we know as Bay Station. The idea was to create a Y shape between Museum, St. George, and Lower Bay/Bay station as some sort of connection between the Yonge/University (yellow) line and the Bloor (green) line. The result was apparently disastrous, problems on the line would cause a freeze not just of one line, but the entire subway system. The station was closed the same year that it was opened.
It is closed to the public and is now occasionally used for movie sets.
You can apparently see lights from Lower Bay if you approach Bay station going westbound, the lights should appear to be coming from underneath the track, so I've heard. I've stood at the front of the train many times and never actually seen them.
It is possible to get to Lower Bay by running tunnels from several stations, the easiest of which is supposed to be Museum. If you look at the southbound line on the north end of the station you'll see a tunnel that goes down and to the right. That is the tunnel to Lower Bay. Reports of the level of danger of this vary, but remember that not only is it illegal, you are walking in a subway tunnel.
Toronto also has another abandoned station known as Lower Queen or the Queen's Cavern.