You need to get advise from licensed, reputable structural as well as a soils engineer in your area in conjunction with your local building department. This would definetely be a permitted project!

Are you old enough to remember when the latest craze was fallout shelters,( in fear of the big bomb)? Can easily be done with enough money, the right contractor with approval from the proper engineers/building dept. I have a lot of respect for folks like yourself who think outside the box. The ideas that come to life need to be safe. Dependent on your area and in most areas, underground remains a consistent temperature with little fluctuation. Here in the mojave desert back in the mining days of the late 1800's, miners dug and lived in underground cabins that resembled daylight basements. Stayed cool in the summer and warm in the winter with little effort to heat. Mining was underground in those days as well. We went down a famous mine of the day that had three lavels, the deepest being around three hundred feet. The temperatures in those shafts remained between 68 & 72 degrees all year round with the help of ingenious designed air shafts. Designed right, the same results could be had with your wine cellar dependent on your location.

It would probably be cheaper and certainly more waterproof to dig a hole, build it, waterproof it, then cover it up again. I'm sure that's what the local building inspector will require if he knows about it.

Wow - these are really great points. Thank you everyone for your responses!

dig a hole, build it, waterproof it, then cover it up again

It's the way they build subways here. Called "cut and cover."

Some of the most disorienting homes I've been in are those where the basements are much larger than the floors above. One had a basement lined with walk-in freezers/fridges. It had formerly been a butcher's shop and the basement extended out under a parking lot to the rear of the home.

Being slightly disoriented is part of the charm of my idea. :) I want to make the room a transformational place where you wouldn't know if you're in the U.S. or some wine cave in Italy or France.

I also want to jam a pool in my backyard but just a dipping pool (no deeper than 4 feet), so I've been thinking about putting this below the pool. Since they will be digging for the pool anyway, it's a way to save money and double up on a giant excavator in my backyard. I figure that I'd only want 8 foot ceilings so maybe they dig 14 or 15 feet deep (8 + 4 + 2 or 3 feet of clearance between the two).

Wow - I think I just dropped a lotta dough. :)