I may have myself later for saying this, but I feel like there might be some value in limiting the maximum depth somewhat. Not a hard limit, necessarily, just have there be a random chance that a dungeon won't lead to a deeper one.

I found it really exciting when I first found an entrance to a deeper cave in the cave I was exploring! And that one had an entrance to an even deeper cave! ...but that excitement wore off as I realized that every cave led to a deeper cave.

Buildings aren't infinitely tall, and I find the really big, tall buildings exciting to discover and explore. I suspect that finding a deep cave in a world of variable-depth caves would be fun and exciting in a similar way, as these would be the places you would expect to find some really good loot. It would give players reasons to move around the world map a bit more too.