Aranda de Duero is a unique city in that it has over 3 miles of underground wine cellars snaking through the ground beneath the city streets. These cellars, built between the 12th and 18th century, we used mainly to store wine thanks to the constant temperatures provided by a thick layer of clay.
One of the most famous (and free to visit) is the Cellar of the Souls. You need to book a visit (again, it's free) at the Tourism Office in the Plaza Mayor. Group visits usually take place at 1 and 5pm and last about 30 or 45 minutes. They give you a little bit of explanation and take you on a tour of one of the public cellars. The tour, to be honest, is a tad boring but the setting sure makes up for it.
I'd suggest heading into the tour at the end so you can only the eerie and unique atmosphere away from the crowd huddled around the guide and hey, why not, even sneak off a bit by yourself to snap some photos. I'd recommend it!