The Underdark features some of the very best shoplifting in the game, happily. There's no shortage of the Potions you want, either.
The Wave Blade was in the Sahuagin City. If you don't have it now, there's no going back for it--not that that should cause you any heartbreak or anything.
Some "secret" items in the Underdark:
- The best enchanted Plate armor in SoA
- A requirement for the best enchanted Leather armor in SoA
- The 2 best Daggers in SoA
- A very powerful Spear
- A scroll of Time Stop
- A scroll of Spook (do you know how rare these things are?)
- 2 rather good Crossbows
- The best Bastard Swords in SoA
- The best Scimitar (that you can keep) in SoA, although that ain't saying much
Lots and lots of spell scrolls, no Wands. No Clubs or Katanas, either.