Kapadokya, Turkey is home to hundreds of linked rooms that, together, form an ancient system of underground cities over 2,500 years old.

Pembrokeshire, Wales is home to a family with a house straight out of The Hobbit.

Edinburgh, Scotland has a long and strange history, though perhaps the oddest story of all is the tale of a bridge that was buried underground.
Tokyo, Japan is at the heart of a strange and gripping mystery involving seven riddles and a supposed secret underground city.

Seattle, Washington’s Pioneer Square district has a very peculiar historical quirk: a century ago, they raised the streets by an entire floor.

Wieliczka, Poland sits atop one of the world’s oldest salt mines, in continuous operation for over 800 years until just this year.
Xi’an, China is now famous for featuring the Mausoleum of Qinshihuang, the biggest imperial tomb known to Chinese history.

Bizarre Underground Conspiracy Theory - Honorable Mention:
Denver, Colorado has an impressively large airport, and, some believe, an even more impressive series of underground tunnels.
Source: http://weburbanist.com/2007/10/15/7-more-underground-wonders-of-the-world-lost-caverns-and-cities/