Caves are great locations for thrillers. I enjoyed The Descent, a B movie about a group of women spelunkers who get lost in a cave and have to fight a horde of blind humanoid monsters. And I really enjoyed Scott Sigler's EarthCore, about a platinum mining expedition in Utah that goes horribly awry when the mining party bumps into an ancient race of violent creatures that live in an immense underground network of caves three miles below the surface of the earth.
Underground, a 136-page graphic novel by written by Jeff Parker and illustrated by Steve Lieber, doesn't have any malevolent mutants, but I can look past that. It still has bad guys, in the form of ruthless and relentless human scumbags who want to kill a pair of Kentucky park rangers who have witnessed their dynamiting of the caves as part of a sleazy business plan.
The artwork is just superb. It doesn't seem easy to draw the interior of a cave in a way that's realistic and interesting, but Lieber handles it with aplomb. The coloring, by Ron Chan, is very effective: in the cave it's monochromatic, and outside full-color, which give the cave scenes creepy and intense mood.
Lieber also illustrated Greg Rucka's Whiteout, which was mominated for four Eisner Awards (Best Limited Series, Best Graphic Album, Best Writer, and Best Penciller/Inker). I haven't read it yet, but it's on my list.