Well... Yes. And no.
Essentially that IS the whole point of the game. Keep digging, keep building.
But there is certainly plenty more that you can do. Dig deeper to get to the coal and iron, then eventually diamonds, that can let you have light and better tools. Venture forth into dark cave to test your mettle against the hordes of zombies and spiders. Build new and unique things for your house, like a http://www.minecraftwiki.net/wiki/Jukebox, or an automated http://www.youtube.com/watch?v=KxM1mjEaY9Q. Visit the Nether and undertake the challenge of harvesting lightstone. And lots more.
It's essentially a game that you really have to invest your imagination into, and not just your time, but many of the tools are built in so that the people that do so invest get a very good reward from it.
I've been playing it some more and I think I 'get' it now. My first map was covered in snow and didn't look very good. I started a new one and this time it has lots of mountains, cliffs, tunnels in the ground etc.
I made an innocent looking door in the side of a mountain and inside I made a massive staircase going down underground until I broke through until a big underground cave. I keep hearing something growling in the distance
I'm now busy converting it into my own version of the Mines of Moria :hehe: