The Cave of Burrowing Horror is a two-level dungeon located in the Desolate Sands in Act II of Diablo III. It is accessed by killing the massive unique rockworm Shaitan the Broodmother and entering the hole left in the ground.
The second level contains a Resplendent Chest, and sometimes the Cursed Chest of the Murderer. A bounty may be offered to clear it. This includes several rockworms which may initially be burrowed out of sight, but as usual their locations will be marked on the map along with the rest of the enemies once 15 or less remain.
The Cave looks like other underground locations of Act II, but is presumably the accessible part of a network of passages left behind by the passage of Shaitan and other rockworms. Several large portions of dead rockworms are present inside.