I "explored" some of the University of Oregon's underground tunnel system with some friends, but that didn't last too long. One evening I had a bad feeling about it and didn't go, and indeed, they got busted. Gut feelings +1. Especially these days, my guess is that you are more likely to get in serious trouble (my friends didn't, luckily).
Yeah, there were times I didn't feel right about going someplace, or who was going, so I wouldn't. The rest of my crew did get busted on one of these occasions, too - glad I sat that one out.
I don't know if this counts as 'urban exploration', but a few friends and I used to scale the roofs at our university. Quite a few buildings are connected by walkways, so we would play manhunt or hide and seek around 2-3AM when no one was around. Great fun. Drinking was fun too (stupid of us considering the danger). We used to line the roofs with empty bottles and wait to see how long they stayed up there. They're all still there. :) I miss the roof.
We used to break into this huge abandoned church near campus and climb up to the top of the roof, which was a big dome...such a view! Dangerous, though.
There's a fairly large network of urban spelunkers in Melbourne that have found military bases, and even held races using VW bugs through some of the tunnels.
Yeah, I used to go spelunking in the elaborate steam tunnel system where I went to college (Washington State U). It was pretty neat, and pretty easy to do, but totally forbidden.
People going underground to do their jobs (and doing them for free!) seems like a good sign of an overbearing bureaucracy.