I'm putting the finishing touches on a "new" cave/tunnel hybrid-ish thing. It's a big (like, 6 gallon maybe) plastic nursery pot (the kind that decent sized trees come in, probably around 15" across and 18-24" tall). I cut 2 round 4 inch holes in the side and plan to split some 1/4" tubing down the length to line the sharp cut edges of the holes. Then, i'll stick it upside down in the pond and plan to set my pump on it. It will all be black, so should blend in once algae starts growing. I have no idea if this will work -- I may need to use a brick or two to keep it from floating, but it's a free project, so i'm not out anything if it fails miserably.
As to whether the fish prefer a cave to a tunnel, I can ask them when I get home today ;-) I know they like to hide out in the strawberry pot i'm currently using, and go in and out of the various holes. They also like to weave in and out of some of the big river rocks I have placed on a submerged plant shelf. I don't think they are very picky...