For the Vatican museums you can just book on their official website. They have several different tour options so you can pick the one the best fits your needs.
http://biglietteriamusei.vatican.va/musei/tickets/do?weblang=en&do
These tours are very good. The guides use headsets so you can hear them clearly above the crowds.
For the colosseum you should book with the official site:
http://www.coopculture.it/en/colosseo-e-shop.cfm
They offer 2 tours, one of the main area of the colosseum and the other of the underground and third tier. You cannot do the underground section without being on a tour.
Just as a side note- there are no dungeons at the colosseum. The underground was the staging area where the props, animals and gladiators were kept before the show.
Donna