A rather rare thing is a natural cave used to build a road or railroad tracks through. To do this the cave has to have two entrances, be big enough and the location has to be somewhere, where a road is needed. It is easy to understand that this happens quite seldom.
Caves of this type have an enormous benefit: you can visit it by driving through! On the other hand, it is rather hard to see much of the cave if you drive through with maybe 80 km/h.
There are at the moment four caves with a road built through, and one with a railroad. The road cave at Domusnovas, Sardinia, Italy, has been closed for the traffic.