Dungeons are minirealms that are opened on random command when you have killed certain enemies. The Dungeons are randomly generated and consist out of different chambers with mobs that eventually lead to the dungeon boss.
Here is a list of all the current dungeons: Pirate Cave / Forest maze / Forbidden Jungle / Spider Den / Snake Pit / Abyss of Demons / Undead Lair / Manor of the Immortals / Sprite World / Mad Lab / Candyland Hunting Grounds / Tomb of the Ancients / Ocean Trench / Beach Zone / Deadwater Docks / The Crawling Depths / Woodland Labyrinth / Haunted Cemetery / Lair of Draconis / Lair of Shaitan / Davy Jones' Locker / Ice Cave / Battle for the Nexus
Oryx's Castle may also be considered a dungeon because it is not the normal realm and it is opened by killing all the big gods. Oryx's Castle is however not randomly generated. The Wine Cellar and Oryx's Chamber lies in the same category. Also, the Battle for the Nexus portal can only be opened by the Battle Nexus key, which is available for buying in Nexus, like all other dungeons (except Oryx's Castle, Oryx's Chamber, and Wine Cellar).
Most dungeon bosses have a very small chance of dropping a certain 6% fame bonus item. These chances differ between 1/500 and 1/600. Some random examples are that the dungeon boss of the abyss of demons has a 1/600 chance to drop a Demon Blade and the Sprite World boss (Limon the Sprite God) has a 1/500 chance of dropping a Staff of Extreme Prejudice. Most of the better dungeon bosses have a fair chance of dropping a stat increase potion.
Some dungeons, such as the Abyss of Demons and the Snake Pit, have a treasure room. Treasure rooms are rooms that have a secondary boss that have the same drops as the dungeon's boss (Excluding white bag drops). They are very rare, and sometimes aren't even in a dungeon! There are also some lucky people who have found 2-3 treasure rooms in one dungeon.