Turns out the parking lot was actually the ground level of a building that stood there a while ago. The hole led down into a room, where the doors and stairwells had been collapsed inward intentionally to prevent people from exploring.

Add to your list:
Moscow's possibly mythical Metro-2.
Seattle's definitely real underground streets.

There are caves under Sydney Harbour as well. Access to most is blocked, but they do exist, and they are apparently quite fun to explore. There's a few cave networks in Australia, but most of the ones I know of aren't under any cities and have been fairly well-explored.

And think of what the London Underground will look like in a few centuries (if it is ever abandoned). I would love to explore it then.

NB, too, that city infrastructure is not necessarily below sea-level; this is especially true for inland cities. Think of Denver, or Kathmandu – they are 1000s of m above sea-level, just like their infrastructure.

I heard they're re-opening parts of it; the recent high gold prices have made it economic again. What's neat about the new works is that they're putting a significant part of the processing plant underground, too, within the mine (the surface above the mine being taken up by city).

The St. Petersburg subway system is one of the deepest in the world; wikipedia puts its deepest station at 105m below surface, though apparently the Pyongyang system in North Korea has track that is 110m deep.

Perhaps the most impressive deep city infrastructure is the new New York water tunnel (http://tinyurl.com/mocryn) – up to 240m underground with a 7m diameter. Construction began in the 1970s, and will finish in the 2020s. Yikes!