On the Casino, Marino issue, the small complex of cold storage rooms are indeed there (a short tunnel ending in a well room, another longer one ending in three rooms), but are all within the boundary of the current Casino property (you can see the vents in the grass down near the O'Brien Institute). They're not open to the public, though, and are being partly used as overflow storage for the groundmens gear.
The one that ran from what is now the men's toilet was the tunnel connecting the Casino with the main Marino House (now demolished). By the time of the restoration works at the Casino, though, the O'Brien Institute had been built right splat across its line, so the end were bricked up and the Institute foundations sunk into the middle. I always wondered what happened to the other end though - Marino House was at the corner of Brian Road and Brian Avenue, so I'd say there would be some interesting things under some Marino gardens!
There are a million urban legends about the Casino tunnels, though - the best one I've ever heard being a story of tunnels running to the Dublin mountains, which would be some feat! I believe that there are some mentions in Lord Charlemont's letters of a tunnel running down to the sea, as sea-bathing helped his joint problems, but they're believed to be from Marino House, rather than the Casino. And Michael Collins was reputedly hiding down there as well (busy man, wasn't he?). The St. David's one is new to me, although it's pretty unlikely, as St. David's is a 19th century building, isn't it?