Megadungeon

The traditional "dungeon" in D&D, video games, and fiction is often portrayed as the stronghold of an evil wizard or dark lord.

From Donjon by Sfar+Trondheim

Castlevania: Dracula X for SNES

Sometimes they are remnants of a lost civilization.

Yet despite their differences, it is presumed that all of these dungeons were built for some specific reason, and through the efforts of manual labor.

However, when it comes to megadungeons, there are many different thoughts regarding their nature since they do not always follow the type of logic that is referred to as Gygaxian "Naturalism".

DM David gives a nice overview of the subject, and mentions the influential article about mythic underworlds from Philotomy's Dungeons & Dragons Musings.

So where do these megadungeons come from? I image that the more mundane megadungeons are just much larger versions of standard dungeons.

Megadungeons such as Utumno from The Silmarilion seem to have been built just like a normal dungeon (albeit with the resources available to a deity).

Utumno by Ian Miller

Similarly, machines like the Builders (kensetsusha; 建設者) from Blame! can continuously build structures, to the point where they can entomb an entire planet.

From NOiSE

From Blame!

The living dungeon is also a concept that has been used in fiction. Typically, they are explained as a [super]natural phenomenon that appears in worlds where magic exists.

In DanMachi, the Dungeon is inimical to mankind, and the inhabitants are viewed as dangerous and irrational by the humans that seek to plunder the dungeon of its treasures.

Living dungeons in Dungeon Meshi on the other hand, are seen as more of a natural phenomenon. At least some dungeons can be controlled by the person who assumes the role of  lord of the dungeon.

The final type of dungeon that is closest to the mythic underworld is what I would consider the world within a witch's barrier (majo no kekkai; 魔女の結界) from Puella Magi Madoka Magica. The labyrinth (迷路) within the barrier seems to be created entirely from magic.

In the world of Madoka Majica, witches are created when magical girls reach peak despair. The FRPG world equivalent would be when magic users reach Wizard's Twilight (to use Ars Magica terms).

GERTRUD

As for actual mythic underworlds, I think of them more as the locations where HeroQuests take place, not places where adventurers go merely to kill things and aquire currency.