I was noodling around snopes for amusement and found this page!
http://www.snopes.com/rumors/tube.aspClaim: London police are warning against using the Underground, citing the threat of an imminent terrorist attack.
Status: False.
Origins: This advisory began appearing in inboxes everywhere on 15 July 2005. Rest assured that it did not originate with the Metropolitan Police.
Likewise, there are no mentions in the British press either of police issuing a warning about further possible terrorist activity involving that nation's transit system or of a controlled explosion being performed in the Piccadilly Circus & Leicester Square area on or around 15 July 2005. (Controlled explosions were carried out in other places around the nation during the week between the four suicide bombings of 7 July and the emergence of this hoax on 15 July:
(maybe it wasn't a good idea to poo-poo the warnings?!?)