Listing of most Munich U-Bahn stations including GPS coordinates in the "Comment 1" field. At least under the Palm version of Mapopolis, if you have purchased a map file of Munich and import this list of locations into your Address Book, the U-Bahn locations should appear as "GeoMarks", overlaid on the map. (The extra punctuation symbols in the listings should be presented in the map program as arrow-like indications of which way some of the U-Bahn lines run.)
In retrospect, a good alternative to this is something like MetrO, a program which gives routing through the public transportation systems of many cities in a roughly time-dependent way (depending on what hour it is, some lines may be shut down). MetrO, it turns out, has a good-sized (though far from exhaustive) list of streets and notable places, in addition to train stations.
Maybe the best option is to extract U- and S-Bahn station locations from the Google Earth kmz file in this thread.