The air raid siren that existed on the roof of the Sutter Av station in Brooklyn along the Canarsie Line, the L line, still exists! When the station was renovated, the air raid siren was removed. But it is now part of the New York Transit Museum collection! See below for photos. Click on them to see the full size versions.
While it was still at the Sutter Av (L) station:
Now, as part of the New York Transit Museum collection:
Photo credits: Brian Weinberg, Railfanwindow.com