Note:

The 1, 2, 3 and 9 lines at Penn Station will leave you south almost directly in line with Times Square. When exiting the station, simply look north and walk up 8-14 blocks? Ask any police or other individuals in the area. Most people would know.

The D, F, Q, W at Herald Square is pretty much the same locale as what's mentioned above for the train exits at Penn Station.

D, F at 42nd Street and 6th Avenue will leave you directly East of Times Square. Not far a walk at all.

A, C, E at 42nd Street and 8th Avenue will leave you directly West of Times Square. Not far a walk.

D, F at Rockefeller Center leave you slightly above Times Square to the East. Again not far a walk.