I think sewers are cool. Caves can fuck right off though, it's an annoying excuse to have really linear levels, with dank boring art. I mean I guess a cave could be cool, but I haven't seen one yet.
Did you ever play the original Gears of War? I felt like that was the only game I ever played where I walked into a cave and went "Woow it's so amazing!". That affect could be lost now, but man they looked good.