I never knew until last night that there are a few corridors under the Whiterun Dungeon and I've been playing steadily since last November. Last night I saw a grate in one of the cells, lifted some keys off of a guard to check it out and Viola! The grate opened and I jumped in to check it out. You can even sneak up to the prisoner chest from there to recover your things if you ever find yourself locked up.

I love this game.