If you zoom out of Cappadocia, the entirety of Anatolia is a great basis for a campaign setting:This all reminds me of Cappaocia in Turkey. That one always intrigued me for gaming ideas.
The landscape is somewhat alien looking, though inside has no spectacles like the other caves posted here, and many of the tunnels are man-made. Still, the scope and size of the labyrinthian caverns is pretty amazing.
Part 1 of a Cities of the Underworld episode on it:
YouTube - Underground Pelasgian cities in Cappadocia â•01â•£