An Undercity is a city that lies beneath the city. It seems simple and perhaps pointless, but I found the concept working fairly well when first introduced to it through Skullport via the Forgotten Realms many moons ago.
See, Skullport is located under Waterdeep. While Waterdeep, a massive city of much written lore, has a ton of material to it and a ton of adventuring options, it's still a fairly good city, inhabited by many mages who are so powerful that the idea of the city having openly evil elements to it, outside of say, plot elements, is alien. To allow for those darker elements that might be common, such as slavery and other bits, TSR came up with Skullport.
The other benefit of such a city, is that it is inherently more hostile to the players. While there are other variants of cities that might be more inherently hostile to the players, such as by being on another plane like the City of Brass, or being a hub for creatures of planar power such as Sigil, the theme of a city in the Underdark, of a lighless city, is appealing because it allows players who have some ability to dwell in a place that's not normally safe for soft humans and elves, but due to their level, allows them to survive.
On the other hand, the Undercity is not known for its kind nature and those who think that just because they've survive other terrors may walk about unhindered or without worry should quickly be shown the error of their ways. The Undercity isn't necessarily worried about policy. It's not necessarily worried about adventurers disappearing. It's worried about merchandise flowing through its gates and out again in exchange for large sums of gold, silver and gems.
Skullport is not quite under the city, but it's a close enough example that I can get the point through of a city that is a dark mirror of the city above. In a fantasy setting, this might not necessarily be a city that is physically under another city, but rather, a city that exist on another plane that has it's origins tied to the prime city. The plane of shadow for example, often is noted as being like the prime material plane, or the 'real world', only a dark reflection if it. The same is often true of descriptions used to describe the fey world.
When dealing with an Undercity, the GM should think of its overall purpose. Is it like Skullport in that it exist for trade and power to pass through in manners that would simply not be allowed in the city where the sun shines? Does it exist as a staging point for an insurgency against the city above? Are dark and alien races like mind flayers and beholders preparing the way for things even darker and more disturbing?
The benefit of an unknown Undercity is that it allows the GM to spring that unknown on the players. And as many adventurers will tell you, such as In Search of the Unknown, the unknown is alluring to players and the GM should seize every opportunity to snare the imagination of the players when possible.
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