With rct3, the design engine won't allow you to build underground. However, i found this to be a cool work-around:
take out a ton of ground using the shovel icon.
go as deep as you need.
build the coaster, surround it w/landscapping, lights, dino's or whatever.
build your pathway from the top (level land around area.
next, cover the whole area w/pathways to enclose it.
it works fairly well.
if you haven't tried it, bive it a shot.
let me know how it works.
enjoy!