Something I've come across several times in London, but never remembered to look up afterwards - the sort of experience I suspect the iPhone is ushering into history, along with the pub quiz and bothering to describe individual music videos - is the announcement for Inspector Sands.
It goes out over the Underground tannoy system, in a style seemingly calculated for maximum creepiness: a very loud, obviously pre-recorded loop of a well-spoken lady saying "Would Inspector Sands, please report to the operations room, immediately." It stands out a mile from the resigned, heavily-accented service updates you usually get, and runs on a permanent loop reminiscent of the "Base will destruct in X minutes" warnings at the end of 1970's Bond films.
It's very obviously a coded warning, but I've never seen anybody, staff or otherwise, pay the slightest attention to it. I'd secretly hoped this made it more secret and exciting, but now I discover that it's just a fire alarm warning and not a very important one at that. An alleged TFL worker in the comments says that it's just a first-stage warning - it's not until two separate fire alarms are triggered that it steps up to the more obviously significant "please evacuate this station immediately". As such, it's recommended that if you do ever find a fire, be sure to trip two alarms because nobody will take it too seriously otherwise.
UPDATE: The inestimable John Walker points out that this has been spoofed to good effect by Mitchell & Webb, and has posted the clips on his site.
Other tips: the "please evacuate" drill is used any time they want people to bugger off, so don't panic too much if you ever hear it, and "if you need to stop an oncoming train, hold both hands over your head while looking at the driver." The commenter helpfully advises not to stand in front of a train while doing so. All handy tips for urban living.
In other vaguely-related news, this is pretty awesome: