If you have the house to yourself (apart from play partners) then any room could be converted - pick a spare room and go nuts. You can do anything you want in there but there are a few things I think (personal opinion only) a dungeon needs to have:
- wooden floors. Proper, polished or painted floorboards for preference. Laminate will do at a pinch but if you have original floor that can be polished, great. This is ideal for atmosphere because a bound and blindfolded sub can hear footsteps. An alternative would be proper stone floor but that is rare enough nowadays (one of the reasons basements are ideal is because you often have stone or concrete floors which are good). You could also use stone tiling to get this effect.
- Suspension points. It is critical that these are secure and I suggest you take advice on them. But lots of places where chains and ropes can be tied to or looped round is good. A central pillar (as described above) or hook in the ceiling where a sub can be bound is useful.
- Decor. Needs to be atmospheric. Thick curtains (velvet) to cover any windows. Subtle lighting (covered lamps, no central light fitting switched on when you are playing). I also think covering the walls in curtains, drapes or whatever to loose the definition of the walls a little. Dark coloured paint/wallpaper. Alternatively, you can go the opposite and aim for stark white hospital look. IN which case the more light the better.
Pretty much anything else is furniture which can be bought or made to order and installed where you like.
If you intend to keep it as a dungeon all the time then I suggest having a lock on the door to prevent prying neighbours when they come round for coffee. Either that or think of some way of hiding the purpose of the room when not in use (i.e. covering all the furn