The other way to do it (which is a bit easier) is to build the attraction and then raise the land that is around it only. After you get the 'walls' built you can use the tarmac option and build a 'roof' over the ride. It's not as pretty, but it is less expensive as simply building underground and I think (dont quote me on this), but I think it it also increases the excitement a little more than just building underground.
Purely underground does look better though...