For what it's worth, I wear a respirator[1] when I take the subway. Some people may look at you, but I don't really care.

That being said, I recall reading an article where they said studied long term subway commuters and did not find health issues due to commuting.

Furthermore, you can apparently build an air filter for the fraction of the cost: https://www.youtube.com/watch?v=q45CkwKiOvw

[1] like the "3M Aura Particulate Respirator". There are also filter with activated charcoal