The intuitive association between depth and difficulty of an area can be used to construct multi-level underground dungeons, where each level has entrance(s) to one level below, with increasing difficulty.

As an alternative to open-world zones, underground dungeons can have lots of easily hidden content and surprises(i.e. you can't avoid path X->Y in closed space, while open-world content makes it easy to side-step danger), traps, ambushes and objects concentrated in one place.

Typical design:
Underground buildings/Mazes, caverns, caves, tunnels and underground rivers/lakes, confined spaces, traps, holes in the floor,doors(often destructible/locked),levers, hidden passages.
Overall the levels are better suited to maze-like structures with alternative paths(Classic Dungeon Crawler).
Lightning is provided by lamps, torches or player aura/light radius.