Although it's not an 'underground' place, it is still a must-visit for the experience!
The Shilin Night Market is a night market in the Shilin District of Taipei City, Taiwan, often considered to be the largest and most famous night market in the city. Like most night markets in Taiwan, the local businesses and vendors begin opening around 4 p.m. As students begin returning home from school, crowds reach their peak between 8 and 11 p.m. Businesses continue operating well past midnight and close around 1 to 2 a.m.
Source: Wikipedia