The Under is a mining town in Orre, located directly beneath Pyrite Town. The Under appeared in Pokémon Colosseum.
The Under acts mainly as a base for Cipher, and the town in controlled by one of Cipher's admins, Venus. She is involved in influencing The Under's residents. Beneath The Under is a subway tunnel that leads to the Shadow Pokémon Lab. Kid's Grid also operates here, run by Megg, Bitt, and Nett.
In Pokémon XD: Gale of Darkness, The Under has been buried and destroyed so that Cipher would not be able to access it again. One old man in Pyrite Town speaks of The Under. This is most definitely the best town to ever exist in a Pokémon game yet.
Shadow Pokémon (Colosseum):