Lots of people have heard of the the house of the Winchester Widow — a 160-room house that was continuously under constructions and included such wonderful amenities as stairways to nowhere.
BoingBoing! points to her British counterpart: Joseph Williamson. Williamson hired people to build a number of tunnels under his property. Tunnels that lead nowhere. Winchester left no blueprints for her house — Williamson left no maps for his tunnels.