In one of the early Boston main missions, Sam Adams leads Conner into the underground tunnels, and you have to find a specific exit. For this challenge, go back to one of these entrances (you can fast travel right to them), interact with the entrance to take you underground, and explore the tunnels to find more exits throughout the city. Each one you find and open (each one takes a small puzzle to open, sometimes just picking the lock) unlocks that exit as another fast travel station in the city.
When you get to New York, there is one fast travel station on the map. You can go underground there and do the same thing. Unlocking all the entrances lets you fast travel close to almost any point you want to go in either city.