Web Urbanist has a neat list of the 7 Underground Wonders of the World, featuring labyrinths, crypts, catacombs and other creepy underground places.
This one to the left is the catacombs below the chapel in West Norwood Cemetery in London, England.
http://weburbanist.com/2007/09/30/7-underground-wonders-of-the-world-labyrinths-crypts-and-catacombs/ - Thanks Craig Kohler!
Update 10/16/07: They've got 7 More Underground Wonders of the World.