Finally, after Max shoots and wounds Vincent in the office, Vincent chases Max & Anna down
into a subway station. This is really the Metro subway station at 7th & Figueroa.

But instead of getting on an underground subway train, they (supposedly) end up on
the Blue Line, an above-ground train that runs from downtown L.A. south to Long Beach.
It's aboard this Blue Line train that the wounded Vincent dies.

But in fact, they're not really on the Blue Line at all, nor do they end up in Long Beach.
Instead, they actually filmed the scene on the Green Line train, which heads to Redondo Beach.

The train station where Max and Anna finally exit the train is actually in Redondo Beach
(near the Lawndale border), at the south end of the Green Line -
it's called the "Marine/Redondo station", and is located at
2406 Marine Avenue, just west of the 405 Freeway.