As I'll discuss in detail tomorrow, sometimes it's not about the location, or how you get there, but the adventures you have trying to get there. I spent the better part of a month trying to find the Blue Sun Cave, and while at times I was frustrated, I had some great adventures trying to find it, and certainly saw some strange things. As I noted here: http://lastadventurer.com/last-adventurers-fieldnotes/2010/5/14/the-general-wastelands-are-not-lightly-traveledstories-and-t.html, any desert is not lightly traveled. But until I tell you about the Cave, check out what I did find over that month I spent looking (Including that sign that is featured in the link above!).
Directions: Guess I should throw these up here should you want to try and find these things, right? You'll want to head nine to eleven miles West of Ocotillo, and you'll either need 4WD, AWD, a good mountain bike, or shoe leather. Pretty much all this is off the Dos Cabezas siding, or near there.