This was on my list of potential question, but now I will use it as an answer...
The extinct volcano Arsia Mons has seven known "caves" that are believed to be lava tubes:
As of 2007 seven putative cave entrances, have been identified in satellite imagery of the flanks of Arsia Mons. They have been informally dubbed Dena, Chloë, Wendy, Annie, Abbey, Nikki, and Jeanne and resemble "skylights" formed by the collapse of lava tube ceilings.
Pictures have been taken by the THEMIS satellite
and by the Mars Reconnaissance Orbiter.
The entrances seem to be vertical. You probably can't just "walk" in, but you could add a hatch and stairs, to make a decent shelter. If Mars has an aquifer, perhaps they even lead to it.