The Civil Defense caves are large tubes formed from lava that snake underground for thousands of feet. Because of the insulating qualities of Lava, the interior of caves are cold, even on the hottest days of the summer. There is usually ice at the entrance to the cave. So be sure to bring jackets, and good footwear along with flashlights.
North of St. Anthony sand dunes
See website for detailed directions from Idaho Falls and Rexburg.