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How does one go about building an underground structure without concrete?

I was reading an article that was linked on another site I frequent on "India's forgotten stepwells", which are basically elaborate wells with stairs to go down to the water level, sometimes 10 m or so below surface (maybe more, looking at the pictures). Some of these are whole temples underground, very impressive.

So I was wondering how one would go about building such a thing, or rather how they would have gone about it 1000 years ago. Would you just dig a very big, deep hole, build a structure inside, then fill the sides (can't imagine this)? Is there a way to start at the surface, then work yourself down, basically building layers under existing ones?

Similarly, how does/did one go about a brick well? Dig a deep hole, hope it doesn't collapse on top of you, start with brick once you hit the bottom during dry season? Or is there a way to work yourself down there? And does it make a difference nowadays; I mean are there new methods now with modern materials that let you do things they couldn't do 1000, 500 or 100 years ago?

Roel
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