As mentioned, a scene from Jackie Chan's Mr. Nice Guy was filmed on the escalators at Parliament station. (It may have been Melbourne Central) Other films, tv shows video clips and advertisments have also been filmed at Parliament station.
Numerous episodes of Stingers have been filmed at Victoria Park station, both on the platforms and in what was the goods yard. A station on the Alamein line (Willison?) was used a few years ago on an episode about train spotters. Numerous locations around the suburbs near rail lines have also been used as the backdrop for various drug deals and busts.
Has anyone else got any others?