Don't forget the "standard" underground monster of new york - big albino alligator. for "weird" monsters i would start looking at either underdark monsters and power them down a bit or start looking at "normal" underground denizens (rats, roaches, spiders, etc) and humanize them (use the anthorpomorphic template from Savage Species). They could find small tribes of ratmen, sentient swarms of roaches, baby phase spiders, etc. What about a trash-golem/elemental? Maybe a Behir (smoke monster) that uses pipes to get around. Heck, make it a whole clan (3-4) they have to fight in part of a tunnel with loads of broken pipes. They hurt one Behir it runs, another pops out from somewhere else until they are all dead or run away.
The idea of the wind whispering "run away" is very cool. I think that would be nice for any sort of creepy adventure.