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).

Google 'Cave Clan'.

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.

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.

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.