Louisiana is dotted with salt domes (Avery Island is the most famous one). They are extensions of the massive Louann Formation that exists under much of the Gulf Coast. They can be bored out to make enormous caverns (most of the Strategic Petroleum Reserve [SPR] is salt dome storage). Because natural gas prices fluctuate so much, there are a variety of companies that operate caverns to store gas at low prices and sell it at high prices. DOE has a nice page on salt cavern storage.