My house.

The reason being, most of my nightmares are in my house, and if I get lucid at all it's from a nightmare.

I've been forced into slave labour (zapped my guards into oblivion and escaped when I became lucid in my house)

I've been held captive and tortured by the KKK (hell knows why the want me) in my house. I became lucid, and dealt with him in a rather unpleasant manner, in my house.

Several times a troll attacked me in my house. I became lucid, created a wand and blasted it's brains out as it went for the kill.

- - -

And so on. My dream world house has a pretty nasty history.