There are many ancient underground shelters in the world, but none as impressive as Derinkuyu in Turkey. The site is carved directly into the hillside, and is separated into a whole 18 subsurface stories.
Given its size, you could call Derinkuyu an underground city. It could probably accommodate as many as 20,000 people at once, and would be almost undetectable from the surface. Because it was so obviously designed to be secret, it was most likely built by people fleeing religious persecution.