Question about Hypogean Gaol

If you get kidnapped and brought to the jail in Hypogean Gaol, you can return to Yharnam after finding the lantern on the floor above.

Hypogean Gaol is a completely optional area if you enter there via one of the Snatchers killing you. When you enter the zone this way, you are given the early chance to fight powerful enemies for a good deal of blood echoes, find some nice gear, talk to a missable NPC, and fight an optional boss. After spawning in the jail, you can follow the stairs as far up as you can (encountering several enemies along the way) and find a lantern which will allow you to come and go as you please until the Blood Moon descends (which is a story related event).

After this event, the aforementioned lantern will be locked, but you will be required to return to this area via different route. The zone will change a bit when you finally return, offering different enemies and a new boss, but that optional boss and the non-missables will still be waiting for you.

There will be a lamp in the jail so I'd strongly recommend getting kidnapped and exploring the area fully before you proceed otherwise. You don't have to worry about the kidnapping because you can warp out with the lamp if you change your mind.

The boss of Hypogeal Gaol is optional and you can still come back to defeat it later if you find him too difficult at this point, but as Dallium wrote in his answer, the area changes, so you will miss out on some stuff if you don't explore it now.

The boss is optional, but it is not overly strong at this point in the game. Once defeated, this connects back to Old Yharnam, if you do intend to explore the area.

Defeating this boss, and using this route is also useful if you wish to befriend Djura, who fires upon you if you enter Old Yharnam by any other route. If you speak to him by entering from the optional boss' area, he will give you a gesture, and the Powder-keg Badge.