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Keep your metro (underground train) ticket for the whole duration of your journey!
Security guards are collecting tickets at many stops. In very rare occasions they sneakily taking advantage of unknowing tourists by not giving the ticket back to board the metro. If you do not have a ticket at your last station you may be fined as much as 50,000 HUF. Please note that as soon as you validate your ticket it can't be used again. It means that a validated ticket has very little value for an outsider, like a security guard, as they can't actually sell tickets.
It may seem obvious to keep your ticket but tourists can often get caught up in the hectic environment of transportation hubs and be completely unaware of potential problems. So keep your ticket!