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Vault Lights, also known as Sidewalk Lights (or Pavement Lights in the UK), are those old glass prisms set into sidewalks to let light into vaults and basements below. Prisms were used instead of flat glass to disperse the light, diffusing it over a large area; plain flat glass would simply form a bright spot on the floor below, not providing much useful general lighting.

The idea originated in the 1840s as deck lights. They were used on ships to let light below-decks, especially when an open flame would be hazardous, such as on colliers. Functional deck lights are still made today, but few of the originals remain. One surviving specimen from the whaler Charles W. Morgan has been much reproduced.

The idea caught on; by the late 19th century they were common in the larger downtowns, especially New York. Their use declined as electric light became cheaper and better, and by the 1930s were on their way out. Now, they are endangered relics. After 100 years of sidewalk traffic, they usually look like this, with most of the glass broken out then filled in, most of the rest smashed but still in place, and a few brave soldiers holding the fort.
Example Sidewalk Prism Usually seen in this orientation (when out of context on someone's sales table as a whatsit), but this is upside-down. The prism hangs below, and the flat part is on top, forming the surface to be trod upon. Multiple-style sidewalk prism To do a better job of dispersing the light, multiple prisms set at different angles are used. However, the single pendant (below) is the most common.
Example of sidewalk prisms set in concrete If you were to bend over and scrutinize one in situ, you would see a very old scuffy dull glass surface, like this. They're usually purple, but aqua and clear are known. Purple glass was originally clear; manganese added as a decolorizer slowly turns purple after years of UV exposure from sunlight. Diagram of sidewalk prism scattering light A prism shape is better than just plain flat glass since the prism will disperse some of the the light sideways, diffusing and spreading the light over a larger area, and hopefully providing enough natural light to render an underground space usable.
Sectional view of US-style sidewalk prism grid In the U.S., the prisms are usually set into concrete, with steel reinforcing bars forming a grid. This makes them particularly difficult to remove and salvage (or repair); the glass units you do find are almost invariably damaged. However, for once, scuffyness does not detract! A used and dull surface is fine. Dublin-style cast-iron sidewalk prism frame embossing example In the U.K. "pavement lights" were originally set in iron frames, often marked with the name of the foundry (rather than the glassmaker). Later replacements (still being made today) are set in concrete and steel in the U.S. style.
Company identification (usually in the form of brass plaques) is often set into the concrete for free advertising. It's difficult to tell though whether the company advertised made just the glass, or the entire glass, steel and concrete structure.