I thought they were in the Underground Jungle but I haven't seen any in my limited searching there. Should I be looking elsewhere?
On the unofficial Terraria wikia it is written that Glowing Mushrooms are found anywhere inside the Stone Layer.
The official wiki just states that Glowing Mushrooms can be found in deeper parts of the Underground.
As of the most recent update, the area with glowing mushrooms is easier to recognize, because it is now its own mini-biome, with its own background and background music. It is still located only in the Stone Layer, in the deeper parts of the underground.
The blue grass Glowing Mushrooms grows on, can be harvested and planted elsewhere, to make it easier to get more mushrooms. The grass can only be planted on Mud.
They're generally in caverns with "mushroom trees". I don't think they're terribly common though.
Since they're caverns, digging horizontally might be a better bet, once you've got to an appropriate depth where you might be able to find some.