If you go all the way to the East or West side of the map you will hit a wall. Drill into that wall far enough and the wall material changes to something that quickly damages you just for being in it, however, if you can drill through that material quick enough and don't die before you make it all the way through, you are rewarded with another complete world, randomly generated, with some slight variations on the original.

One I remember: Going off to the far right of the map of the first level, you'll hit a lava lake, followed by a deep pit. If you jump down the pit, it's a shortcut to the second level. There's also a bunch of rewards for exploring to overworld (you start at a cave entrance and are generally expected to go underground immediately)

most fun for me was testing the limits of the outer edges of the map.