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This is a follow-up to this question.
The ranger's Natural Explorer feature states:
You are particularly familiar with one type of natural environment and are adept at traveling and surviving in such regions. Choose one type of favored terrain: arctic, coast, desert, forest, grassland, mountain, swamp, or the Underdark.
For the purposes of this feature, what terrain type is Wave Echo Cave? Is it possible for Wave Echo Cave not to be any terrain type?
The terrains are not mutually exclusive - a boreal forest on an arctic coast is forest, arctic and coast terrain and a ranger with any of these favoured terrains gets the bonus.
Similarly, a cave in the mountains is both mountain and Underdark. If you want to be really pedantic and mean a cave that is not connected to the great realm of the Underdark could arguably not be Underdark terrain but you don't want to be that big a d&^k.
The Natural Explorer does not include all possible terrains, so we are sometimes forced to expand the definition of some of them. In many games I've been in, people have treated caverns as part of the mountain terrain which works fine enough when caves aren't overly prominent in the campaign.
A couple years ago I designed a campaign entirely set around an elaborate cavern system. One of my player's wanted to play a ranger with a relevant Natural Explorer choice so I added karst to the list (which is the biome that involves caverns and caves). Natural Explorer is a fairly minor benefit for most campaigns in the grand scheme of things, so there is no harm in allowing the ranger a more relevant choice if possible.
Don't add to the list unless those terrains are going to feature prominently in the campaign or you are simply saturating the list needlessly. Natural Explorer is already a very situational feature and other selections dilutes its usefulness further. Be transparent with your players about why you are adding a terrain type to the list so they can be prepared to make the choice most befitting the campaign.
Some other terrains I've added to the list in the past are listed below for campaigns that featured the regions more than typical.
So I think the real answer to this question is: None, you cannot have a favored terrain of a dungeon. Some places on the planet are hard enough to know that having survived other ones doesn't prepare you. I think the omission of some terrains as indicated in other answers indicates that the feature should only be useful in mundane environments where the ranger can reasonably expect things to operate as normal. Once you have left those normal circumstances, you lose the benefit. For example, a favored terrain of forest would not extend to a haunted forest which may exist within the favored terrain. Making it haunter clearly changes the parameters of the terrain that the ranger would rely on to get the advantages of the skill.
