Not only expensive to run things underground, it introduces maintenance nightmares. Overhead lines can easily be inspected and even repaired while in service [1]. Underground lines cannot easily be inspected or repaired. Even when there are multiple lines, failures can overload the remaining lines as happened in Auckland [2]. If you want to get an idea of the hassle repairing an underground line is like, read this series of posts [3].
[1] https://www.youtube.com/watch?v=tA9oBEHRLqQ&hd=1
[2] https://en.wikipedia.org/wiki/1998_Auckland_power_crisis
[3] http://www.jwz.org/blog/2002/11/engineering-pornography/