The new Fulton Street subway station has a gorgeous glass roof that will bring light down into the station below. Fast Company's Ben Schiller points to engineer Arup's magazine, that gives some history:
In the early years of the New York City subway system, natural light played a dominant role in the illumination of subterranean spaces. The architecture emphasized a connection to the sky, often through skylights planted in the median of city avenues above — lenses in the concrete sidewalks.
However, it proved extremely difficult to keep the skylights clean, and light eventually stopped passing through. Subway authorities moved toward an almost exclusive reliance on electric lighting. While this allowed for greater flexibility in station design, permitting construction at any location and depth, it also created a sense of disorientation and alienation for some passengers.
It also wasn't free. But vault lights, made with prism glass, were very common, and integral to the design of many buildings in the 19th and early 20th century. It was called prism glass, and was designed to be cast into concrete. The greatest example of its use was probably Pennsylvania Station; the entire main floor is made of it;
Here you can see how much light is flowing through to the lower level.
More conventionally, here is the interior of the 18th street subway station in 1905.
Installing the stuff was a challenge (and a spectator sport).
Designing for natural daylight was harder than just wiring for electricity, and they still had to do something for night time anyway. The sidewalks can get slippery and are harder to maintain. There are a lot of reasons that vault lights fell out of favour and were ripped out or paved over.
On the other hand, transportation facilities used to be designed to impress and delight. This is going to do both.
Learn more about prism glass and vault lights at Glassian.org.