A typical London underground train runs on two rails for the wheels and collects electricity from two live rails. The live rails use direct electrical current so there has to be many metal plates that gather the charge from the rails, they're dragged along the rails and make scraping sound.
The trains can't share the same loop so the live rails interrupt, when the power plates leave the live rails they make a pop sound because the current briefly goes through the air; you hear "pop pop, pop pop". The popping sound is the negative and positive plates leaving one live rail and touching another. It goes "pop pop, pop pop. Pop pop, pop pop" over and over again.
With AC power, all the trains can share the same loop because the train's transformer divides the power and takes a smaller current for the train cleanly. Plus, it only needs one or two plates to gather the power so you only get a small scraping sound.
The London underground existed before AC current was invented, it's not their fault. The trains are still very efficient though. I guess it's low on their priorities to change the power system for the underground trains. They have pushed the old technology to limits as far as it can go and I think they did a good job.