The best thing we found in Rolla was the steam tunnels under campus - while I don't have any pix of it, here's what I can remember of them: (There's a campus map at http://www.umr.edu/uploads/media/campusmap_01.pdf (unfortunately it's a 3D-ish thing in PDF format).)
We entered late one night via an access doorway in the floor in the entryway of the Mechanical Engineering (ME) Annex (it's good to have roommates with keys to buildings, though the door itself was unlocked). There was also a point of entry in the Formula Racing workshop in the Mechanical Engineering building that we used another time. (This was about 7 years ago - I believe they've secured some of the entry points by now, but there may be others if you know the right people.) From there, we went west, under the ME building. Much of the tunnel was large enough I could walk upright in it. Under the ME building there was a fork, which led north to the power plant, and the tunnel also continued westward under the Rolla Building and the University center, ending with a locked door to Schrenk Hall (ChemE Building). It also branched to the south, ending in a gate which opened into the basement of Norwood Hall. (We could have climbed over the gate, had I been a couple dozen pounds lighter and in better shape, but we were getting tired, so didn't.) We headed back to the fork to the power plant. There was also a large (20ft x 20ft), low (4-ft height), open area under the ME building, where there were some serious cable junctions and some spare spools of fiber-optic cable for the campus network.
We headed towards the power plant, where we found a spot where the tunnel crossed a driveway, so that a truck could be driven in and things could be loaded into the tunnel. Unfortunately, the power plant is manned 24/7, so we couldn't stick around there long, but we did jump down and run across the driveway to the tunnel on the other side without being noticed. From there, the tunnel continued on to end in a room in the basement of Harris Hall, where there were some spare desks and probably the biggest cockroach I've ever seen. We headed back, slipped across the driveway without being seen again, and then went back to the point where we'd come in. Heading the other direction, there wasn't much of interest - there's a grate in the sidewalk in front of the library where we climbed up the ladder to get some fresh air (the grate was locked) - steam tunnels are quite warm, given all that steam.
From there, there was a branch that led south, towards Fulton Hall, but was gated off, and the tunnel continued east, towards the library, but was also gated off - so not much else to do there. So, from there, we decided to call it a night. In the time I spent at Rolla, we also went caving a few times - one of my roommates was on the Cave Rescue Team. I remember there being one small cave that was actually in the median strip of I-44, just west of Rolla - we found the entry, but I was too overweight at the time to squeeze through. There was another, much larger one near Waynesville, I believe, though it could have been Jerome. I remember having to park under a bridge near the river and walk, because we couldn't park at the entry to the cave. The entryway to the cave was large, and my roommate, who was guiding, claimed that it had been used as a speakeasy during prohibition - there was some tile drainpipe laid across the floor in a few places. The cave went much further back, through, and we went probably half a mile or more deep before getting to a place where the large people in the party couldn't squeeze through easily.
We did a small amount of other explo while I was in school, but those were probably the two biggest bits. Since I don't get the opportunity much now, it's nice to be able to hear others' stories.
Some of my friends are working on their masters and some are working on PhD's.
