There's a few reasons for that, one is due to steam pipes below ground, another is due to the AC units on the subway cars, I believe (its been a while since I read the math) that they put off as much heat as breaking from a full stop does, but they do it continuously. Finally breaking is a big factor but that only happens once per station and I believe the heat given off is comparable to only a fraction of what the AC units give off when stopped in the station. Finally, there's the poor ventilation that doesn't allow the air to circulate very well albit it is somewhat nice in the winter since then the station is warmer.