How to explain that loud scary sound the subway makes

This one is by special request from EB who has an inquisitive daughter. A very sweet young girl who like many people of a tender age dislike loud unexpected sounds.

The NYC subways have both electric and pneumatic (compressed air powered) breaks. The loud sound you are hearing could be from the primary pneumatic breaking system releasing the air pressure used to bring the train to a stop. However I suspect since this seems to happen when the train is at rest for a while (and not just a quick stop) that it is actually a spring-applied parking break engaging by releasing the air holding the springs back. I think releasing the air from the parking break also makes more sense because you wouldn't want to release all of the pressure from the main breaks.

Pneumatics are also used to operate the subway doors.

Additional reading:
http://www.nycsubway.org/nyc/nywb/nywb3.html