In NYC as well as a few other large cities, steam is generated in a central plant and sent by underground pipes to the surrounding area to heat homes and office buildings. In cold weather, the steam, being carried in large, underground pipes (often 20 feet in diameter or more) escapes through the ill fitting manhole covers...
In the case of NYC the company generating the steam also generates electricity so the wires as well as the steam come through the same tunnels. I think the company generating the steam and electricity is Con Edison in NYC...