if you take my underwater city, I used 3 methods here
1) All passageways were made by making the entrance, filling it with signs, then building the next few sections, fill with sand, dig out, repeat (signs take up a "block" and create a nice air pocket.
2) the door and post! This methodf is great for area's that are largish, you create sections where you can refuel your air, allowing you to fill in larger area's.
3) the top fill, For my 140 radius dome I am using this method, filling up a stack of gravel, then removing the dirt and sending the gravel to the deep, doing this is time consuming, painful, but is faster than other methods, it also allows for tweaking the design here and there. Best for mega structures
There is also the enchants etc but all in all in Vanilla MC, the best way is fill with sand or gravel (sands best) and thats that, but it takes time to do it right