If you're really just creatively locked upon underground adventures, cities are actually ideal!
As has been pointed out by others in this thread, any major city is going to have a subterranean sewer system of some kind...heck, Moscow even paved over a river (which still flows)! Many major cities have catecombs.
But something most people forget is that many cities are built upon foundations of older cities...or even on their own previous incarnations! I believe that San Diego, NYC, and London are all known for having actual streets and buildings that were simply buried, paved over, and forgotten by the vast majority of the public. Stuttgart has huge tunnels under some of its buildings built to facilitate troop movements in WW2- tunnels big enough to drive in.
Go back even further, and you'll see that some cities have been built up not once or twice, but 5, 7 or even more times! The location of Troy was only discovered after going through something like 11 layers of construction.
Abandoned warehouseses and slums are no different than a typical dungeon except instead of going down you're going up.
Aboveground, there are conflicts with the City Watch, Thugs, organized crime groups & gang wars, drunks (especially slumming nobles & their guards), the Church (or churches), wild or sick animals, insane wizards, riots, looters after a fire, people who just don't like you, and if you get to it, wars.
Wars deserve a special note. A prolonged siege could require brave persons to volunteer (or get drafted via the old British Navy way- too much grog and a sap to the back of the head) to risk running the blockade to acquire supplies, harry the besiegers, deliver messages to the outside world, or even escort important persons into or out of the besieged city.
