The classic The Taking of Pelham 123 is one of my favorite New York movies (the 1974 original, of course). One particular scene has a police car crashing as it races to catch the hijacked train, and was filmed on Lafayette. Some screen grabs are below.
Alamo, better know as The Cube, on the left of the frame (it was installed in 1967). Also note that the uptown 6 entrance does not yet have the reproduction kiosk which was added as part of the station renovation in 1986. I always found this shot humorous with the locals obviously watching the filming on the right of the frame and elsewhere.