go by, go on, take, travel by, travel on
We went by underground.
I often travel on the underground.

station, train, tunnel
system
It brought the whole underground system to a halt.

in the underground
I always seem to get lost in the underground.

on the underground
passengers on the underground

Underground is used with these nouns:
cable, cave, cellar, chamber, culture, economy, garage, laboratory, line, map, mine, music, parking, passage, passenger, pipe, reservoir, river, scene, service, shelter, spring, station, stream, train, tunnel, vault

Underground is used with these verbs:
bury