Personally... I think on the subway I would not want to be distracted and remove myself from being aware of all of those people around me. Many times it has been proven that such things do indeed distract people and reduce awareness. I would far rather maintain my awareness of what is going on around me and escape a potential danger than to escape a minor discomfort by distracting myself from the reality of what and who is around me.
While the subway is one of the stereotypical "urban danger" scenarios (to people who aren't used to urban public transit), it is in fact one of the less dangerous situations you can be in (except from having your foot stepped on, perhaps). In a situation where you have a person on every square foot of space, no one is going to attack you. In fact, it's almost the opposite: a crowded bus or subway car is a situation where you really need to pull your horns in and not be giving people any "are you a danger? are you threatening me?" vibe.