Underground is generally warmer than the surface, and warming the ocean causes problems of its own. But really the problem is that the amount of heat you'd have to move is absolutely massive - the best we can do is alter the atmosphere to increase the amount of heat radiated to space, because we can't out-cool the sun.
The "to space" method has the smallest probability of backfiring in surprising ways. For instance, heating deep ocean waters could disrupt the local ecosystem down there, and we don't fully understand yet how the deep ocean is connected to everything else on an ecological level.