So far, I've liked London the best. It's functional, efficient and Bobbies even politely warned us against getting on a car carrying a group of drunk football fans.
St. Petersburg did have some impressive Soviet style stations, but the cars were built in the 1950's - like riding a wooden roller-coaster.
Rome has only two lines. Unscheduled maintenance closures left us hailing a taxi more than once.
Copenhagen has a very nice Metro, but the service area is limited. There is no signage, however, where you board the trains (at least not at Kongen's Nytorv). With only two choices, you would think I would have picked the right train more than one out of four times. We had to get off at the first stop and catch the next one going the other way.