The best modern dungeons are cities. Just think about it: Interconnected city utility tunnels, multistory buildings with unused floors and corners, maze like smaller connecting roads and back alleys, territorial gang zones and bundles of comical and industrial development, and lots and lots of decay and dangers.
But when you think about playing a urban fantasy game I often seen people fall into the World of Darkness mentality. What is this? Well, it's more a social layout of a city than a dungeon layout. Such as having a social center (Elysium), a hanging ground (bars/alleyways), and battle zones (industrial parts from Werewolf games.). But what they are missing is you can build a city around a fuller range of dungeon/sandbox play! Here are some tips:
* Most cities have an organic growth from smaller commercial/residential areas. Industrial parks on the outskirts that slowly get swallowed by growing residential needs, or other pop-up development that envelop them. Go look at say a map of Seatle, notice how the most developed areas are near rail lines, and sea ports? Then as highways came in the rail ways zones have decayed from less use? Same deal! Washington DC is a perfect example of urban planning that goes 'just far enough' around the main Capitol hill and then gets messy on the outskirts. South DC is a mess of interconnected rail lines, industrial development, when there is this messy residential growth to the north, etc. Nab a map and really study what's going on, where are the shops, the development. Etc. When planning out a self made city (if not using a real one) keep this in mind!
Or...go play Sim City (earlier versions please.) Or Living Cities, Cities XL, there are other options.
* When placing supernatural 'growths' in a city area think of them as communities! So what if goblins are making less than a living wage near a meat processing plant and they live in a decaying mess of very old 50's homes just north of it connected to a trailer park. Details like this help establish where your supernatural critters live. Or maybe a necromancer overlord rules a downtown high rise. Easy right? Okay, where does he story his bodies? In the basement? So, do any of them 'burst' out into the subway lines? Have there been attacks of 'drunks' eating people in the nearby sewers? Are the local homeless and cops afraid of going anywhere near the underground connections to the building? These are elements you need to keep in mind.
* Cities need resources, and live and die on the money they bring in. The Dragon CEO running the local stock exchange is going to want his horde of local businesses to have a steady flow of customers. He might be paying the Trolls that run the local Highway division to keep the bridge tolls low enough that commercial truck freight is affordable into the city's manufacturing plants. Orc gang bangers hanging out in empty old storage warehouses most likely won't have the power on in these places. No money means, no/low facilities and support. Little to no chance the local cops are going to come running if you call 911. You can damn well expect the local supernaturals with money are going to protect banks, businesses, and transportation of their goods.
This was one of my biggest bugs about Vampire games. Vampires had all this influence over city resources, but you rarely EVER had to deal with them in your games. The focus was more on the drama of being a monster and having crazy urban brawls than managing an empire. Hell Mage/Syndicate games were more realistic to this. I want to play a urban fairy tale version of the TV series EMPIRE or 30 Rock. It might be more interesting!
* Everyone has to have somewhere to sleep. The Minotaur may patrol the back alleyways of his territory like a bizarro horned Batman at night, but during the day is he just laying in a dumpster? Or does he have an apartment he gets for free in return for protecting it from other supernaturals? Homeless supernaturals have to deal with the same trials normal homeless do. No food, lack of heat, sickness, lack of personal property, cops pushing you around. Sure for some physical needs won't be AS bad. But the idea that a Vampire can just sleep in the sewers is okay right up until a day crew comes down to fix a phone line that is having problems and they bump into your little parlor. It gets more complicated when these 'off the radar' communities tap into local utilities. They may not notice it at first, but eventually someone is going to come along to figure out why there is a power draw on/near your base.
* Humans live here too! This may seem obvious, but normal non-supernaturals are EVERYWHERE. In an urban fantasy city the homeless or locals of a city are going to know something is up. Many will stay quiet and just accept it as a price of living there. Others might try to attack, drive off, or beg for support from your fantasy critters living there. Always take the time to think of how the interplay works. Take my earlier Orc Gang bangers idea. Eventually they might 'induct' tough humans, men or women. Hell there might be second-generation of Half-Orc Gang members who are the children of mixed race couples. And maybe they're fighting the local Hispanic gangs for territory...and this Latin gangs have slowly been getting help from members who are werewolves. Slowly infecting more members via hazing rituals.
If you want more ideas on just how to build urban dungeon crawls check out: Urban Explorer websites, Urban Decay pictures, History channels Gangland dramas, etc. Look into real life examples and think "how can I inject some magic/weirdness here".
Eventually your urban dungeon settings will seem very alive and very dangerous.