Book VII of Plato's Republic brings us one of Plato's most famous passages, the Allegory of the Cave. (If you need to brush up on it, it's hard to beat this animated version, narrated by none other than Orson Welles, although it un-dialogues it and fiddles with the ending.) Describing the man who has come out of the Cave, Socrates notes that he would not envy the prisoners, but instead would prefer "to serve as the serf of another, of some portionless man" rather than live the life they do.
It's notable that this quotation, which comes from Book 11 of Homer's Odyssey, has come up before. At the beginning of Book III, Socrates is in the midst of criticizing poems about the gods, and he begins to argue that if the citizens of the just city are to be courageous, they should not be told stories from childhood that would make them fear death. In particular, they should not be taught that Hades is filled with terror; rather, life in Hades should be praised. This, of course, is precisely what Homer does not do. When Odysseus talks to Achilles in Hades, he tries to comfort him for the fact that he is dead, but Achilles will have none of it, saying he would rather serve a poor man than be king of the dead. It is this that Socrates quotes in Book VII, and this is the very first passage that Socrates lists for deletion in Book III. As he goes on to say in Book III, it isn't that such passages aren't pleasing, but indeed, rather the reverse; because they are pleasing and poetic, they are not appropriate for teaching a courageous people who should fear slavery more than death.
We are not to speak this way, then, of the afterlife, lest we make people timid. But Socrates speaks exactly this way of the Cave. The Cave, like Hades, is an underworld, and, like Hades, its inhabitants have only a shadow of real life. But the Cave is, so to speak, true Hades, the Hades of which it might truly be said that even servitude outside it is better than autonomy within it. And the difference is important, because we are the inhabitants in the Cave, living our lives according to sensible goods, which are mere shadows in comparison with the intelligible goods that make possible order, mathematics, and virtue. We should be pitied as the Greeks pitied the heroic dead. But unlike the heroic dead, there is a path for us out of this underworld. We only have to stand up, turn around, and walk toward the Good.
Boethius has an interesting adaptation of this theme in Book III, Meter 12 of the Consolation. This is one of Boethius's mythological poems, and the subject here is Orpheus and Eurydice. Eurydice, of course, died, and Orpheus in grief set out to retrieve her. So beautiful was his music that he touched the heart even of the compassionless king of the dead, who as a single exception allowed the return of Eurydice to the land of the living. But, of course, there was the condition that he could not see her dead. You know the story: Orpheus failed, because he looked back at the very last moment and she vanished away before his eyes. And the moral that Lady Philosophy draws is clear: in pursuing the Good, we must not only walk out of the Cave, we must not even look back until we are free in the sunlit realms.