nrr: At Penn Station, too. I heard an interview once with the designer who chose the Penn Station music, and the idea was, as other have said, to have a calming effect, and also to give a sense of spaciousness. The Penn Station soundscape certainly works that way for me, although I wish many more environments would eschew the practice entirely. People also tend to be quieter - talk more quietly, etc. - around classical music - which is another benefit, really.
wg