There are three separate tunnels (in the true sense of the word) between Finchley Road and Marylebone: Hampstead Tunnel, St. Johns Wood Tunnel and Lords Tunnel in that order.
There are two bores for Hampstead Tunnel, with the potential to have carried a maximum of four tracks had it been finished. The 'down-side' bore is the unused one, with the Finchley Road portal bricked up apart from an access door that you can see from the trains. There is no corresponding portal at the South Hampstead end.
St. Johns Wood Tunnel only has one bore, which is used today.
The 4 chain gap between St. Johns Wood Tunnel and Lords Tunnel was covered in 1974, following completion of the construction of the Wellington Hospital.
Lords Tunnel has three bores. The 'down-side' bore carried two tracks, referred to as No. 1 Neck and No. 2 Neck, which served as the headshunts for the Goods Yard at Marylebone and the Wall Sidings. (Note that today the Up Platform Siding is now colloquially known as the Wall Siding, although this originally referred to the sidings on the other side of the station). The middle bore carried two tracks, which served as headshunts from the Up & Down Slow lines and would've ultimately been linked with the disused bores at Hampstead Tunnel had the lines been constructed. The 'up-side' bore, which carries three tracks, is the one still used today.
There is also a covered way between the Marylebone end of Lords Tunnel and Lodge Road, which is now topped by the Danubius Hotel. The disused bores for Lords Tunnel are only generally visible in good sunlight, when the gap between the covered way and Lords Tunnel can just be discerned. You have to be quick to spot it though!