Fans of the musical "42nd Street" know this as THE song, when the kindly director Julian Marsh (played on videotape by Jerry Ohrbach) persuades ingenue Peggy Sawyer not to go back to Allentown. Most commentators on this song explain it as a depiction of the glamorous life that she will be leaving if she decides against a life on the stage.
That said, I can report that, like many other great lyrics, there is yet another meaning.
Around about the time that show people are going to bed (say, 3-6 AM) Times Square is or was host to a uniquely lovely sound: a kind of hushed hum that contrasts/ed with the sounds of the day or, indeed, earlier in the night. It's not hard to account for it -- there's not much going on, unless you count a few delivery trucks -- and was probably much more pronounced in the late Twenties than later. I myself heard it (in the late Rosoff's Hotel) on a summer night in the late Seventies, while in the arms of my truelove with the window open. The feeling behind the lyrics "Don't leave, or you'll never hear this sound again. As a matter of fact, most people you meet won't even understand what you're talking about if you mention it." is enough to bring a tear to my eye even now.
Sad to say, even I won't hear it again: Rosoff's Hotel is now the Casablanca, and the windows won't open....