How about some mine-holes that go directly to a certain cave level?
Not entirely sure how to implement it, but that's where you clever folks come in.
Instead of having to dance between five different holes/loading screens, might be nice to just have one hole that goes all the way to the bottom.
This could be much more expensive than a normal hole, and exponentially as the depth increases.
Could give it some kind of window like travel signs have, which allows you to select the level / add another level. I feel this may become cumbersome in itself, having to navigate through yet another window... might be better still though.
Food for thought. Opinions?