You know this sounds like great fun.
I'm not sure what is around my town that could be suitable off the top of my head so I might do some "recon" (and perhaps inadvertantly gain some sort of new insight into the structure of things around here...).
If all else fails I am only an hour's drive away from Melbourne which is littered with possibilities.
What sort of experiences have you had with this? I'd love to hear them.
If you check some of the sites on the UrbEx ring: http://e.webring.com/hub?ring=draining
you might be able to find some info about local sites.
I'm in the UK and we have a wealth of industrial sites along with the closed asylums and some hospitals. Plus we've been to a few military underground sites, etc.
Overall I'd advise not to go on your own (there are people who do, but a lot of them are experienced climbers, etc), let someone know where you're off too and have a basic kit with you, torch, first aid, mobile phone, etc (theres a lot of info on the majority of sites) and a decent camera. Oh and find out about your local trespass laws!
It is a fascinating 'hobby', though unfortunately it is getting a little bit too much publicity now, and the overall view of UrbEx'ers is still that of criminals by the majority of the public. Also with some UrbEx'ers there is a lot of competition and ego involved..which is a shame as its bringing too much attention to sites, spoiling it for other urban explorers.
My site is slooowly being added too (I'm a horrendous perfectionist with layout), so theres little on there at the moment: http://www.nyctophobia.net
I have a few pics here too of our recent trip to Belgium: http://valan.deviantart.com/
One of the first websites I ever visited still remains my favourite: http://www.abandoned-places.com/
and a more recent favourite is: http://www.opacity.us/
I'm sure you'll find plenty to explore, post a link to some pics when you do