I’ve been to the Vaults and Mary King’s Close (both underground and in Edinburgh). Mary King’s Close was quiter, less touristised and VERY SCARY! They are both very chilling and eerie places, and fascinating to visit. Not for the faint-hearted though, you will feel tight in your chest and cold, and you might even hear something that isn’t a sound effect or see a shadow move. They’re supposed to be very haunted!