I'm sure there are many! I posted something historical regarding wells leading to caverns over in the history thread, I thought it was a pretty cool tie in.
Heck even Arya thinks she has descended beneath the Canals in the HoB&W at one point. It seems cavern-like there as well and not unlike the HoU with multiple doors and maze like quality. Sam complains about the maze like quality of Braavos itself.
I think the Sanctum is a natural cavern repurposed for the Faceless Men.
We kiss on the mouth but still cough down our sleeves
That was friggin incredible! What a pay off, I'm beside myself. The pink letter and the dosh khaleen! Did you see Tormund's lusty eyeball checking out Brienne. God that made me laugh. I can hear him thinking "now that's my kind of woman". The opening scene with Jon and Sansa so powerful. Theon and Lancel broken men also powerful. Dany walks out of the flames...OMG, I nearly died.