Alrighty, so I was in Alderney and I think I had just finished an assassination mission... just when I finished, I noticed a hooker for the first time in the game, so I picked her up and immediately drove into some run-down area and into an alleyway.
I tried pressing R1 to initiate her service, but instead I ended up throwing a grenade out the window... when I noticed "Pleeeeeeeease leeeeeeeeeave" come up at the bottom of the screen as a subtitle. As anyone who plays with subtitles on may know, they only come up for important characters. At first I thought it was the hooker, but then remembered the 'important' factor. I kinda shrugged it off, reversed to a different part of the same run down area, and replenished my life.

Afterwards, I decided to kill her, shouting "die you expensive hotdog" before blasting her with my shotgun. When I shot, that pedestrian said something again and it came up as a subtitle again. It was something like "alright, you asked for it!" (also, I didn't get a wanted level or anything... so not a cop.)
That made me REALLY curious... so I shot at a nearby wall, and he said something yet again. I noticed a nearby door going into this 3-4 story building I was next to... so I headed for the door, and lo-n-behold, it opened and the scenery was quite stunning. Something out of Half Life 2, where there was a broken sewer, sparking wires, broken floors, etc. Though I assume this building is like, for the last mission or something for being so detailed and eerie.

Anyways... I briefly explored the building occasionally shooting to see if he would say anything again, but nothing came up. I may have to check it out again later.

Has anyone encountered something similar, or found an explanation for such as this?

My guess is that possibly you were shooting at one of the 'random' peds that has a mini mission? Was there a little green icon on the radar by any chance?

Hmm maybe it was god?

I thought it may have been a random person, but unless the marker went away after the grenade, it didn't show up on the radar.

Though I didn't see anything beforehand either.

Very weird - I haven't encountered anything like that although I did encounter a ped with a pot on his head yesterday.

That just happend to me. It usually comes up when you aim at the guys in the weapon shops and I think it happens when you kill hookers too. I think it is there pimps talking from a distance to let you know there coming cuz you killed one of there girls.

Its the bouncers at the honkers club who say it. u were pretty close to it, i can bet on that. I was investigating the ghost in the sprunk factory and i shot a window and the 'please leave' thing came up. I was like: woah so there is a ghost! only to realize that it was the bouncer.

Hmm... map does show that there was a Honkers about a block away.

'Psychic guards'... how unfortunate. Mystery solved.

Game Masta, you may have been near either a Strip Club or a Cabaret and your illicit activity somehow activated one of the bouncers. Because if you start trouble in a club, the bouncers say "Please leave!" and you get matching subtitles. They also attack you. However, if you are not inside the joint, they may be stuck behind the wall. That's the only thing I can think of to explain why this happened.

this has happened with me. i was exploring the sprunk factory and shot a bullet and the subtitles came up when the bouncer said something. in the end he actually ended up coming into the factory and firing at me so i killed him

This has ahappened to me as well. Just wished you can see the subtitles when Niko swears (especially in serbian).

Sounds similar to this 'egg'
http://www.eeggs.com/items/53110.html

quote Master

Something out of Half Life 2, where there was a broken sewer, sparking wires, broken floors, etc. Though I assume this building is like, for the last mission or something for being so detailed and eerie.

Sounds like the building from the Tresspass mission for Phil Bell.