If you go all the way to the East or West side of the map you will hit a wall. Drill into that wall far enough and the wall material changes to something that quickly damages you just for being in it, however, if you can drill through that material quick enough and don't die before you make it all the way through, you are rewarded with another complete world, randomly generated, with some slight variations on the original.
One I remember: Going off to the far right of the map of the first level, you'll hit a lava lake, followed by a deep pit. If you jump down the pit, it's a shortcut to the second level.
There's also a bunch of rewards for exploring to overworld (you start at a cave entrance and are generally expected to go underground immediately)
No, it is a shortcut to the third level, and generally I'd not recommend it as you need better wands to survive. It is more a way back up if you get good enough gear to get to the overworld.
Also I'd recommend going over the pit instead of down it.
I think these days shortcuts are often for experienced players who are happy with the difficulty ramp being a cliff.
e.g. in Bloodborne you can rush the Cleric Beast, spend the echoes to open the gate and go straight to Amelia. Something that using the standard progression route you'll do much, much, later. If you're good enough, this is great.
