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From underground to on-ground you need this:
metro.png
The icon where you see the rail going underground, like a tunnel.

From on-ground to above-ground you need nothing, just get a on-ground track and connect both ends. If there are enough space between them they will automatically connect and make a ramp. If not you will see red indicator.
 
Hm, to go from under to above ground, the tracks underground needs to be on level 1. If you are on level 3 or 2 go to level 1 first and then connect. You will need a lot of space to do this.
 
To go change between underground levels build a track segment on one level (level 3 for example) Then choose the level you wish to make the transition (level 2 for example).
Point at the end of the segment in level 3 and drag it to where you want.
If you want to change from underground to ground level, build the special transition piece and connect the underground part to a level 1 segment.
The underground part of the underground-to-ground level transition is above underground level 1.
You should watch this video tutorial: http://www.youtube.com/v/1nOWiAN5sVQ&hl (Created By OlaHaldor)
 
Go to the wrench icon, click on metro. Click on the underground metro track. You will see, on the up right side of the panel, 3 buttons with numbers. Those are the layers or levels, 1, 2 and 3. If you are on number 3, I counted that you will need 12 squares to go to underground to ground.
Click on level 1, then click at the end of your underground track and move your mouse. You will see a ramp going up. When the ramp stop going up it's because you reached level 1. From level 1 to underground to ground its 4 more squares.
 
Not working for me. UGH!!! <angryface here>

Ok, I actually got this to work once, but between levels on the subway. I have a metro station at ground level and a transition piece to underground. I am still having issues connecting the transition piece to my subway. Anything else I might be doing wrong? I'm pretty sure my subway is at level 1 so I don't think it's an issue. As I run my metro line from the subway to the transition piece it goes from green to red and does show the ramp up to the transition piece.

Any ideas anyone??

Thanks!
 
Followup

Ok, I actually got this to work once, but between levels on the subway. I have a metro station at ground level and a transition piece to underground. I am still having issues connecting the transition piece to my subway. Anything else I might be doing wrong? I'm pretty sure my subway is at level 1 so I don't think it's an issue. As I run my metro line from the subway to the transition piece it goes from green to red and does show the ramp up to the transition piece.

Any ideas anyone??

Thanks!

OK. After playing around with it, it seems that if I put my subway station at Level 2, the transition track would go all the way down to that, but not Level 1 for some reason. Odd as I would think it would got to Level 1 just as easily as level 2.

Anyways, problem solved. May just keep all my subways at level 2 then.
 
Was your transition track running underneath water perhaps? In some places the depth of water obstructs underground construction on the layer closest to the surface.