Enjoy E is wrong. The "Vatican" is not free. There are areas of the Vatican that are free such as the basilica and the square but you must pay to get into the Vatican museums, the vatican gardens, the scavi tour and to climb the dome. Also, the line to get into the museums can be hours long during high season so booking a tour or tickets which allow you to bypass the lines can be a life saver.
There are tour touts selling tours at the site but these are pick up tours and you never know how many people will be in the group. Also, a lot of these groups don't have skip the line privileges, they have people placed in the line as place holders so you basically end up cutting in front of people who have waited in line. That, for me, is not ethical or fair.
As for the colosseum, the underground tour cannot be done without a guide. You cannot rent the audio guide and visit the underground. You can rent an audio guide and visit the main areas of the colosseum but if you want a tour of the underground and upper tier you must book a tour.
This is why doing the research before you go is so important. You'd miss out on a lot of really great things if you showed up and didn't know these short cuts in advance.