There are a lot of different Caves that Lara can explore in Rise of the Tomb Raider. They are located all over the Hub Levels in Siberia and contain a wide variety of Resources, Enemies (like Mishka the Bear), and sometimes contain Crypts or other Secrets.
There is one Challenge called Into Darkness that is related to caves, especially those found in the Soviet Installation: Lara has to find and explore five different caves to successfully finish this challenge.
Baba Yaga DLC
During the Baba Yaga: The Temple of the Witch Downloadable Content, Lara has to enter several caves in order to find the Dreaming Blossoms to create the antidote to the hallucinogenic pollen that she encountered in the Wicked Vale.