The Tunnel Man is a friendly NPC whom the Spelunker meets in the tunnels between Areas, where he asks for "a little money" - several hundred thousand dollars - so that he can dig a shortcut. These shortcuts give you the option to bypass previous areas during future playthroughs, skipping straight to the later levels. Unlike virtually everything else in Spelunky, the amount you've paid the Tunnel Man remains constant even after you die, so you don't have to pay him all in one go. After the first shortcut has been dug, he can be found sitting in the shortcut house between games.