For whatever reason, in Terraria I always end up with a magic mirror before I go exploring too deep.
In one area on our family world, we dug a _deep_ pit and put water in the bottom so we could even get back down quickly.
I always felt like digging back to the surface in Minecraft was non-trivial. Certainly easier than Terraria but it can still take a while as you break into side passages, etc.. Terraria you can see everything so it's distance without mystery. Minecraft you have less distance but every new block you remove is potential surprise danger.