I don't have any experience in "spelunking" per se, but if there was just one thing about it I would stress... make sure that the cave/mine you are going in is safe and has never had a history of collapse. I HAVE had experience in mining and mine rescue operations and the biggest hazard about working a mine is collapse.
As far as training? I don't believe that formal training is neccessary. Just have the right equipment (helmet, lights, back up lights...) and a good long rope to mark your trail.
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