most people don't, but you don't need a 'dungeon' to explore play at home, either. It is easy enough to tie someone to a bed, or to a chair, and you can do things to make an ordinary room 'special' in play, light it by candlelight (or if worried about a fire hazard, those battery powered candle thingies you can use at the holidays). Have whatever you are going to be playing with visible around the room, and make sure to dress differently for play, like all black for the top and flimsy stuff for the bottom
. Sometimes the hottest things are improvising and using things on spur of the moment, like hairbrushers, panty hose, things you grab from around the house, makes it interesting,because the other person would never look at a pair of tongs the same way again *lol*.
I don't know where you live, but if you do some searching you may be able to find professional dominants in your area, and some of them will rent out space to people (I can't promise that, depends on where this is and local laws), in the NYC area pro houses commonly rented out space, and it wasn't prohibitively expensive. There are all kinds of listings online for houses of domination, if there is a large town or city near you that would likely be the best place to start.