Not underground but underwater: http://www.amusingplanet.com/2016/12/witley-parks-underwater-ballroom.html http://www.visualnews.com/2014/12/09/secret-underwater-ballroom-built-notorious-victorian-swindler/

Interesting use of the underground for flood control: http://architectureofdoom.tumblr.com/post/158964495563/urbain-tokyo-flooding-the-defences-protecting