"Lord Weary's Empire", Michael Swanwick

NV ASFM (Asimov's Science Fiction) December 2006 - science fantasy
Will escapes his pursuers into the underground infrastructure of Babel. There he encounters the high-elf Lord Weary and his small Army of Night, and defeats their champion Bonecrusher in combat. Will becomes the new champion and takes residence in their subterranean shantytown. As flamboyant Captain Jack Riddle, Will defeats the Breakneck Boys and becomes a hero. He leads a raid to capture some underground horses. Lord Weary, perhaps unwisely, starts a war.

The protagonist, Will, experiences an adventure with grungy fey folk in the underground. In the end, nothing is truly changed. This story is a roundabout trip to nowhere, with some dark techno-fantasy scenery along the way.