The Connaught Tunnel runs under the join between Royal Victoria and Royal Albert Docks. It has been out of use since 2006 when the North London Line ceased functioning between Canning Town and North Woolwich but work has now started to transform it into part of the Crossrail route. The tunnel still looks like it needs a bit of attention before trains run - particularly as the old tracks have now (Sep 2011) been lifted.
One of the more notable facts about the tunnel (better substantiated now - see BBC link below) is that the central section under the water was rebuilt at a lower level after it was discovered ships were scraping the top of the tunnel. Oops.
Further reading and pics for the interested at: abandonedstations.org.uk, urbexforums.com, ianvisits.co.uk and bbc.co.uk