JavaScript (ES6), 120120 118 bytes
a=>a.map(b=>b.map(c=>c/10|0)).map((b,i,a)=>b.map((c,j)=>((a[i+1]||[]a[i+1]||0)[j]-c?'_':' ')+(b[j+1]-c?'|':' ')).join``).join`\n`
Where \n
represents the literal newline character. Edit: Saved 2 bytes thanks to @Bálint.
f=
a=>a.map(b=>b.map(c=>c/10|0)).map((b,i,a)=>b.map((c,j)=>((a[i+1]||[]a[i+1]||0)[j]-c?'_':' ')+(b[j+1]-c?'|':' ')).join``).join`\n`join`
`
;[
[[5,20],[3,6]]
,
[[1,5,8,9],[3,11,13,8],[7,14,10,9],[4,8,7,6]]
,
[[0,10,20,30,40,50,60,70,80,90],[0,0,10,10,20,20,30,30,40,40],[0,0,0,10,10,10,20,20,20,30],[0,0,0,0,10,10,10,10,20,20],[0,0,0,0,0,10,10,10,10,10],[0,0,0,0,0,0,10,10,10,10],[0,0,0,0,0,0,0,10,10,10],[0,0,0,0,0,0,0,0,10,10],[0,0,0,0,0,0,0,0,0,10],[0,0,0,0,0,0,0,0,0,0]]
,
[[5,5,5,5,5,5,5,5,5,5,5],[5,10,10,10,10,10,10,10,10,10,5],[5,10,15,15,15,15,15,15,15,10,5],[5,10,15,20,20,20,20,20,15,10,5],[5,10,15,20,25,25,25,20,15,10,5],[5,10,15,20,25,30,25,20,15,10,5],[5,10,15,20,25,25,25,20,15,10,5],[5,10,15,20,20,20,20,20,15,10,5],[5,10,15,15,15,15,15,15,15,10,5],[5,10,10,10,10,10,10,10,10,10,5],[5,5,5,5,5,5,5,5,5,5,5]]
,
[[35,32,29,26,25,25,25,26,29,32,35],[32,28,25,22,20,20,20,22,25,28,32],[29,25,21,18,15,15,15,18,21,25,29],[26,22,18,14,11,10,11,14,18,22,26],[25,20,15,11,7,5,7,11,15,20,25],[25,20,15,10,5,0,5,10,15,20,25],[25,20,15,11,7,5,7,11,15,20,25],[26,22,18,14,11,10,11,14,18,22,26],[29,25,21,18,15,15,15,18,21,25,29],[32,28,25,22,20,20,20,22,25,28,32],[35,32,29,26,25,25,25,26,29,32,35]]
].forEach(a=>document.write(['<pre>','</pre>'].join(f(a))));