The Cave of Terror (also known as the Cave of Despair, Cave of Doom, or the Cave of absolutely nothing in there after all) is a natural cave formation near the spawn point of the Yogscast's Minecraft world. It first appeared in Part 1: How to Survive the First Night of the Minecraft Series. Honeydew and Xephos choose this as the location to construct their Nether portal.
When it was first seen, Xephos pointed out a 'hopping green thing', causing Honeydew to sprint backwards and exclaim "Oh, Christ almighty! It's a creeper!" Xephos then began to walk towards the creeper, only to be quickly stopped by Honeydew. Later, in Part 6: The Mysterious Tree, the two explore the cave, only to discover there's nothing in there, not even the Creeper they saw earlier.
In Part 16: Dark Constructions it became home to Simon and Lewis' Hellgate (later destroyed at the start of Season 3 in Crash and Burn) and also got connected to the Yogcave via a tunnel that Simon and Lewis dug in Part 19: Tunneling in the Dark. This was near where The Celaeno crashed in Season 3, and had changed slightly: sand was coating the floor near the Gate. Originally, our heroes had planed to chase Israphel through the Gate, but he had sealed it behind him. They then took out the Gate at Old Peculier's request, and used the tunnel to escape to the Yogcave, or what was left of it.
It should also be noted that an absurdly extensive tunnel connects the cave to Israphel's underground castle, implying that the Gate has a great significance to Israphel's sudden acquisition of power over Minecraftia.