You would say "take the underground". I think this is because when people say "the underground" they're referring to the entire underground rail system as a collective noun (so all the trains, all the lines, as one thing). The word "an" implies one of many, but the underground rail system is the only thing people will be referring to when they talk about "the underground" as a form of travel. Using the word "the" calls attention to the fact that its the only one (or at least, the only one that the speaker would be talking about, which you would figure out from context). The word "a" or "an" makes it sound like its one of many different options. To illustrate this: "We're being invaded! Send the Army!" - "Army" is a collective noun, and there are many "armies" in the world. But from the context, there's only one "army" the speaker would be talking about, and that's the army of their own nation. So in this situation, the speaker would not say "Send an Army!" "I need you to feed the cat tonight" - Cat isn't a collective noun, its a singular noun, but the rule still works. The speaker would almost certainly be referring to the family pet, not any other cat. If they said "feed a cat", that could be taken to mean they want the listener to go out and find ANY random cat and feed it. Hope that helps a bit!

I guess that if you had the option of two or more different systems, then you might be able to. But normally, since there is only one system in most places, you would use 'the'.