Are there health risks living near a power sub station. We have 3
children, 5,4,2 and do not want to expose them to increased risks of
cancers. The sub station is across the street, there are no lines
running over the house. Looking for the bottom line answer and then
maybe some references to supporting documentation.

Look at this from the Power Company's point of view, if there was any
risk, and a child came down with cancer - the parents would sue and
get millions and millions and millions of dollars.   This would lead
to no one living near Power Sub Stations.  Which has not happened.

So the answer to your question is no -

Overhead power lines do magnify the effects of natural radiation and
are demonstrably to be avoided.

Otherwise, Just4fun2-ga is correct: No!

http://www.quackwatch.org/01QuackeryRelatedTopics/emf.html

Personally I would move - to be on the safe side.

People used to insure all sorts of risks that are currently uninsurable.

If that sub station makes you feel twitchy, just by walking past it,
then trust your instincts.