I did a random search on "Underground" just to see what came up (I do that often, I'll free associate a word that might be of interest, and see what happens), and the Underground Club in Knightsbridge was one of the things that did.
Knightsbridge is based on the RL area of London, it's a cute little sliver of a city, and, best of all, when you teleport in to the default in the zone, you are met by a treasure chest. Which presents you with a clue to the next one. You can find chests before you find the one you're looking for (and probably will), and I thought most wouldn't give you clues until you'd found the previous. Turns out that in fact, a lot of them were broken and wouldn't give out clues at all, and you can skip ahead whenever (although it may check to see if you've done it all at the end? I don't know, since I got them all). I ended up picking up clues 3, 5, and 6 on my way to 2, because I wasn't really paying attention, and hadn't let everything load so I knew what was what (while it took me a while to find, it was actually rather easy), and I didn't get 4 because it was broken at the time. (It was fixed later in the day, so it does all work currently.) A hunt is a brilliant way to encourage people to actually explore a sim.
I could have done with a map though, perhaps there was one at the entry but if there was it never rezzed in for me (this was also part of my problem in finding clues- my computer and SL do not necessarily get along all the time, and my patience can expire before textures finish arriving), and a handout I could have carried around would have been brilliant. (If I ever do make a sim myself, which is unlikely primarily due to the exhorbiant fees related to land ownership imposed by the Lindens, I would totally steal the treasure hunt idea, and also make sure to provide maps of my sim). I also tend to fly around sims more than walk- not only can I get a nice eagle view of the land, but often things are spread out, and it goes faster. As this is a city, I actually walked the streets and didn't feel frustrated, as I often do in places that don't let you fly (and they do here, I just didn't even feel the need). Of course, I also really enjoyed walking down the middle of the deserted city streets just on principle.
Eventually I found the club, actually underground, off the Tube station. It is a 60s club, and no, I didn't actually stay to check it out, but there were a number of people there on a Saturday afternoon, for people who are in to that sort of thing.
I have joined the Knightsbridge group to keep on eye on these sims- there is also a neighboring Chelsea sim wide sandbox, as well as the start of another build on another of Knightsbridge's borders (this is an island sim, only attached to two other London districts, which haven't been fully realized yet, currently).