Sounds like Die Hard: With a Vengeance to me.
According to SARSman1973:
John McClane is now almost a full-blown alcoholic and is suspended from the NYPD. But when a bomb goes off in the Bonwit Teller Department Store the police go insane trying to figure out what's going on. Soon, a man named Simon calls and asks for McClane. Simon tells Inspector Walter Cobb that McClane is going to play a game called "Simon Says". He says that McClane is going to do the tasks he assigns him. If not, he'll blow off another bomb. With the help of a Harlem electrician, John McClane must race all over New York trying to figure out the frustrating puzzles that the crafty terrorist gives him. But when a bomb goes off in a subway station right by the Federal Reserve (the biggest gold storage in the world) things start to get heated up.
The bad guys aren't interested in McClane or the bombs at all, other than how they can tie up the police. They get away in dump trucks loaded with gold, by driving down a new extension to a (I believe the Holland) tunnel. The trivia section to the IMDB page says:
The chase scenes in the tunnel were filmed in New York City Water Tunnel Number 3, an unfinished aqueduct connecting the city to the Catskill Mountains in upstate New York.