National Geographic has a fantastic cut-away look at what happens 800 feet below the surface of a typical New York City street:

"New Yorkers go about unaware of what is happening just beneath their feet: Power pulses, information flies, and steam flows. The city’s infrastructure starts just below street level, but it doesn’t stop there..."

Apparently not - subway trains rumble about 30 feet below the surface, and below that, there's sewage and water pipes.