Hellstone Brick Wall

A wall already standing in a Ruined House does not count as one you built, so enemies keep spawning right through it. Move into one of those buildings, hang a bed and call it a base, and you will still get jumped in your own room with no idea why.

The fix is to knock the original walls out and put your own back up. That also means crafting the item version, because breaking the natural wall gives you nothing to place.

Do it before you invest anything in an Underworld base. A house down there is only worth the trip if the walls actually stop spawns, and this is the one that catches people out.