For directions see Martin's post below.
I stopped off here on the way back from a visit to Edinburgh. There is a T/A building next to where you park and signs stating that you can't visit when the flags are flying - which means there is live firing taking place! Luckily when I visited all was peaceful and I had no trouble entering the Souterrain through the unlocked metal gate. The site reminded me very much of Fogues I visited in Cornwall this year - very similar - so much so that my guess is they were used for the same purpose. Well worth a visit if you happen to be in the area.
I've visited this site on about 6 or 7 occasions at various times of the year- from glorious summers days spent in the Pentland Hills to sheet ice and waist deep snow. I first visited this souterrain when I was still at school, catching a bus to Hillend and walking the rest of the way- it was another I was inspired to see after reading a description in 'Scotland Before History' by Stuart Piggot. The roof has been re-built with the not-so-nice concrete and thick glass tiles finish. The roof was thought to originally have been constructed partly from timber, which is kinda unusual for a souterrain. The main chamber is really quite big- over 20 m long and about 2 m high- being able to walk inside a souterrain as opposed to crawling or stooping- a rare treat! Halfway along the main passage is another small chamber big enough to crawl into and stand in. Finds here have included Roman glass and iron as well as a bronze buckle with Celtic ornamentation and the site has been dated to approx 2 CE.
Take the A702 Biggar road south out of Edinburgh as it hugs the countours of the Pentlands. Pass Boghall and Easter Howgate farms, the track to the site is just after the latter on the right hand side of the road. Follow the track uphill- there's parking at the top.