Assume that you are talking about enclosed service reservoirs not dams.
The Honor Oak Service Reservoir in London was the largest ever brick-lined underground reservoir and remained the largest in Europe holding 56.5 million imperial gallons.
The Dubai Electricity and Water Authority has 2 - 60 million imperial gallons concrete underground tanks under construction as the first two phases of the Al Ghafat reservoirs.
The Al Ghafat contract is worth a total value of 77.5m USD and is scheduled for completion in 2014.
The overall project involves five water service reservoirs with capacities of 60 million imperial gallons each; three reservoirs are at the sites of the existing reservoir complex at Mushrif and two reservoirs are at Al Ghafat in the Emirate of Dubai.
The existing reservoir complex at Mushrif has three existing reservoirs, each with a capacity of 60 million imperial gallons. In the current project, an additional three reservoirs will be constructed. The reservoirs are rectangular reinforced concrete structures, each with four compartments.