On the algberaicity of the universal elliptic curve associated to a torsion free subgroup So let $\Gamma\subseteq SL_2(\mathbf{Z})$ be a finite index subgroup (not necessarily a congruence subgroup). Recall that we have an action of $SL_2(\mathbf{R})$ on 
$\mathbb{H}=\{z\in\mathbf{C}:\Im(z)>0\}$ by moebius transformations and therefore of $\Gamma$. If $\tau\in\mathbb{H}$ and $[a,b,c,d]=\gamma\in SL_2(\mathbf{Z})$ then we have an isomorphism
of complex tori
$$
\mathbf{C}/(\mathbf{Z}+\tau\mathbf{Z})\rightarrow \mathbf{C}/((a\tau+b)\mathbf{Z}+(c\tau+d))
\mathbf{Z}\rightarrow (\mathbf{C}/\mathbf{Z}+\gamma\tau\mathbf{Z}) \;\;\;\; (*)
$$
where the first map is the identity and the second map is the multiplication by $(c\tau+d)^{-1}$. Let
$$
\tilde{\mathcal{E}}_{\Gamma}=\{(\tau,x):\tau\in\mathbb{H},x\in \mathbf{C}/(\mathbf{Z}+\tau\mathbf{Z})\}
$$
We have a natural left action of $\Gamma$ on $\tilde{\mathcal{E}}_{\Gamma}$ given by
$$
\gamma(\tau,x)=(\gamma\tau,j(\gamma,\tau)^{-1}x),
$$
which is just a reinterpretation of $(*)$. Here $j(\gamma,\tau)=c\tau+d$. We thus get the following family of curves (note that the fibers are not necessarily elliptic curves because of the presence of torsion in $\Gamma$ as K. Buzzard pointed out):
$$
\pi_\Gamma:\Gamma\backslash\tilde{\mathcal{E}}_{\Gamma}=:\mathcal{E}_{\Gamma}\rightarrow Y_{\Gamma}:=\Gamma\backslash \mathbb{H}
$$
In the case where $\Gamma$ is torsion free, we readily see that the fibers are elliptic curves and the the $\Gamma$ action is compatible with the addition on the $tori$ (this somehow justifies the terminology "universal elliptic curve" over $Y_{\Gamma}$).
In general one always has that $Y_{\Gamma}$ is a quasi-projective curve defined over $\mathbf{C}$ (in fact it is always possible to define this curve over $\overline{\mathbf{Q}}$, the algebraic closure of $\mathbf{Q}$). 
[For example, when $\Gamma=\Gamma_0(N)$ one may look at the modular polynomial $f_N(x,y)\in\mathbf{Z}[x,y]$. Then using the modular interpretation one can show that there exists a (complex analytic) immersion of $Y_{\Gamma_0(N)}$ onto the plane curve $C_N: f_N(x,y)=0$. If I remember correctly, in the finite chart $\mathbf{C}^2$ (for $N$ large enough) the singularities of $C_N$ are nodes and thus one can blow-up these points (over $\mathbf{Q}$!). From this one can construct a complex analytic isomorphism between $Y_{\Gamma_0(N)}$ and the blow-up (which is quasi-projective curve defined over $\mathbf{Q}$.]
So here are 2 natural questions.
Q1: Is $\mathcal{E}_{\Gamma}$ quasi-projective (at least when $\Gamma$ is torsion free)?
Q2: If the answer is yes, then what is the cleanest (and if possible most transparent) way of showing that $\mathcal{E}_{\Gamma}$ is quasi-projective? 
So for the second question, the thing that I have in mind would be to 1) construct some complex analytic immersion $\pi:\mathcal{E}_{\Gamma}\rightarrow Z$, where $Z$ is
a quasi-projective surface and 2) performing a sequence of blow-ups on $Z$ I would try to construct an embedding. 
added: Note that one can always find a normal finite index subgroup $\Gamma'\leq \Gamma$.
Since $\mathcal{E}_{\Gamma}=(\mathcal{E}_{\Gamma'})^{\Gamma/\Gamma'}$ we readily see that if $\mathcal{E}_{\Gamma'}$ is affine then automatically $\mathcal{E}_{\Gamma}$ is affine being the quotient of affine variety by a finite group.
 A: The point is that by your construction $f:\mathcal{E}_\Gamma\to Y_\Gamma$ is an elliptic surface with a section $\sigma$. So as Keerthi said in the comments, $f$ is projective. In fact the relative divisor $3\sigma$ gives the Weirstrass embedding $\mathcal{E}_\Gamma\to \mathbb{P}(f_*\mathcal{O}(3\sigma))$).
(Ben's comment shows that projectivity can fail without a section.) 
From here, quasiprojectivity is
straight forward: If $V$ is an extension of 
$f_*\mathcal{O}(3\sigma)$ to a vector bundle on  the smooth projective closure  of $ Y_\Gamma$, then the closure of $\mathcal{E}_\Gamma$ in $\mathbb{P}(V)$ is a projective variety.
Therefore $\mathcal{E}_\Gamma$ is quasiprojective.

Given the endless stream of comments, perhaps I should add a few words of clarification:


*

*Since $Y=Y_\Gamma$ is noncompact, any vector bundle such as $f_*\mathcal{O}(3\sigma)$ is in fact (analytically)
trivial. This is definitely overkill, but you can use Grauert, "Analytichse Faserungen..." Math. Ann 1958.

*Thus $\mathbb{P}(\mathcal{O}(3\sigma))\cong Y\times \mathbb{P}^2$. This
embeds into  $\bar{Y}\times \mathbb{P}^2$, where $\bar Y$ is a (the) smooth projective compactification of $Y$.

*We can take the closure of $\mathcal{E}_\Gamma$ to get a projective variety, and the quasiprojectivity of this family follows easily.

*Note that the fibres of the closure $\overline{\mathcal{E}_\Gamma}$ may be singular.

*If the Hopf surface had a section, it would lift to a rational curve in $\mathbb{C}^2-\lbrace 0\rbrace$. Well, I'll let you think about why that might be a problem.



OK, I guess there some issues.... I'm converting this to CW. Anyone, who wants to fix this
is welcome to. I've got to finishing my refereeing....
A: Here is an alternative take on Donu's argument: Removing the image $\sigma$ of a section of 
$E_\Gamma$ allows one to regard a fiber of $E_{\Gamma}$ as a once-punctured torus $S$. 
(In order to construct a section, use the standard upper half-space model of the Teichmuller space of the tori, so that each marked torus is identified with the fundamental parallelogram $P$ with vertices $0, 1, \omega, \omega+1\in {\mathbb C}$. Then the section is given by the map $\omega\to 0\in P$.) Then $M=E_{\Gamma}\setminus \sigma$ is isomorphic to the quotient of the Teichmuller space $T(S)$ of $S$ by a finite-index torsion-free subgroup $Mod^o_S$ of the mapping class  group $Mod_S$ of $S$. Now, this is a general fact (Deligne-Mumford, et al) that $T(S)/Mod^o_S$ is quasi-projective (for any Riemann surface of finite type). It is not hard to see that DM compactification of $T(S)/Mod^o_S$ is our case will add (among other things) the curve $\sigma$ back to $M$, thus, providing a projective compactification of $M$. 
In the special case you are interested in, it seems that quasi-projectivity of $E_{\Gamma}$ was first proven by Kodaira (On compact analytic surfaces. II, III), at least, Shioda (On elliptic modular surfaces, 1972) attributes the result to him. 
Addendum: As an alternative to this argument, one can use Ron Livne's thesis "On certain covers of the universal elliptic curve". Livne proves that for every level $N\ge 5$ congruence subgroup $\Gamma(N)$ in the modular group $SL(2, {\mathbb Z})$, the universal elliptic curve over $E(N):={\mathbb H}^2/\Gamma(N)$ admits a degree $d\ge 2$ cyclic branched cover $E_d(N)$, so that the latter  admits a compactification $X_d(N)$ (compatible with branched cover), so that $X_d(N)$ is a general type projective surface. Thus, every $E_\Gamma$ admits a finite regular cover which is biholomorphic to a finite cover over one of the $E_d(N)$'s. Thus, $E_\Gamma$ is quasi-projective. 
Livne also refers to Mumford's paper "Prym varieties. I." Contributions to analysis (a collection of papers dedicated to Lipman Bers), pp. 325–350. Academic Press, New York, 1974, for a direct proof of quasi-projectivity of $E(N)$'s. I do not have access to Mumford's  paper, so I cannot say for sure. 
