For a short time in the 19th century it was possible to catch a London underground train all the way to Windsor.
The service operated on what we now call the District line (at the time, the Metropolitan District Railway) between 1 March 1883 and 30 September 1885. Trains began at Mansion House and passed along the usual District line route as far as the current terminus at Ealing Broadway.
From there, trains switched to Great Western Railway (GWR) metal to continue west. Stops included Castle Hill (Ealing Dean) (now West Ealing), Hanwell, Southall, Hayes & Harlington, West Drayton, Langley, Slough and Windsor (now Windsor and Eton Central). Some services skipped the intermediate stations and ran fast from Ealing to Slough.
The service would have made for a convenient royal commute. A five minute stroll from Buckingham Palace would have taken Queen Victoria to St James's Park station, from where she could catch a direct train to her palace at Windsor. She never did, to the best of our knowledge.
Sadly, the route proved unpopular. It was withdrawn in 1885, and no underground service has run that way since.