Hard to understate just how expensive. Here in Montreal where ice storms kill and cause billions in damage, we still don't bury the main transmission lines. We been burying almost everything _in_ the city where having to repair millions of individual connections (again) would be impractical, but it's relatively simple to repair the limited major lines into the city.
From CBC:
> Current estimates are that it would cost five to 10 times more to distribute electricity to a big city via underground cables, and that not all of nature's problems would be alleviated even if that were done.
> Horizontal directional drilling costs $10 to $30 (USD) per linear foot with upfront fixed costs of $30K or so.
Underground power lines are expensive, but not that expensive. As far as I know, you dig a ditch, put the power line into it, and then put the material back in over the top.
To pass under roads, under rivers, avoid digging up tarmac, houses, orchards, crops, things on the surface, etc.
Trenching is straightforward, I mention horizontal directional drilling as that puts a cap on the total cost of going underground Vs pylons and above ground stringing.
From CBC:
> Current estimates are that it would cost five to 10 times more to distribute electricity to a big city via underground cables, and that not all of nature's problems would be alleviated even if that were done.