There is a little-used platform at Grand Central Terminal (track 61, perhaps?) which has a freight elevator that apparently comes up to a sidewalk loading area of the Waldorf-Astoria Hotel (which was partially built above GCT tracks, using New York Central air rigts). It was sometimes used by dignataries (including FDR) for access from private cars.

Occasionally MTA would give journalists tours and at that platform was a train car. This gave rise to an urban legend that it was one of FDR's private cars. A little research (which I cannot lay my hands on at ther moment) reveals that the car is simply a very old baggage/MOW car, which happens to be sitting there (and has for a while).