I never go down there before getting a cobalt shield at the very least, as it's practically essential if you want to Try Not To Die, and getting an obsidian skull (and combining them) was trivial for me since I dug my hellevator straight through every underground lake that I met, resulting in fully half of it being underwater, so that everywhere it opened into caverns with lava, it created natural obsidian farms. (I have a pump-based infinitely refilling one at my base, but I still have an entire stack of naturally harvested obsidian)
Of course, I had to make diving gear before I could actually traverse my hellevator without using gills potions.
As for statues, all I've found for
useful statues are the king and queen statues, which I have in my throne room.
The clowns destroyed, literally, two of my dart shooter blocks (I had three on the side they attacked, and they blew them and a bunch of the terrain up, but only one was recoverable, along with tons of dirt and such).
My base itself is surrounded by, and a great deal of it built of, dungeon brick, and after the last blood moon brought clowns I tore up the top layers of dirt leading away from it and put down dungeon brick roads as well (and lamp posts on one side, which, interestingly, can be placed on wood platforms).
Demon scythe seems to work quite well underwater and against many of the hallowed enemies - especially chaos elementals. Interestingly, it doesn't work anywhere near as well against the corruption enemies (corruptors in particular require numerous demon scythe hits to be killed, taking a ludicrous amount of time), and crystal storm is more effective on them. I wonder if Terraria has damage types implemented and if certain hallowed and corruption enemies might be vulnerable or resistant to different ones.