Also saw in-tunnel advertising when we took the PATH back to Jersey.
[UPDATE: I found the people who do that, the company is Submedia - catchy name.]
To see the display take the E train from Penn Station New York downtown to the end of the line. Follow signs in the station to the PATH trains and take PATH from the World Trade Center to Exchange Place. Right as the train is pulling into Exchange Place on the left hand side is the 15 second long ad.