Ann's building is at 344 W. 78th Street. (Defiant One, Season 3). David, the little boy she meets in that ep, lives at 89th street.
Ann Marie moves to New York City from Brewster, NY, which is on the Metro North Railroad's Harlem Line to Grand Central Terminal. The footage behind the credits was shot on New Jersey Transit's Northeast Corridor Line (photographed from the rear of a train leaving New York and then shown backwards so the train appears to be going to New York, although on the wrong track).
The opening for season 1 only is not the famous train tracks, but a breathless and beautiful Ann Marie running across a NY street to a building, dressed in a pale blue coat, white gloves and shoes, white pocketbook under her arm. The train tracks don't come until seasons 2, 3, & 4, and season 5 adds lyrics to the up-tempo opening music ("Diamonds, daisies, snowflakes...").