A good exercise room lets in a lot of natural sunlight. Some sun is good for you! Whether through windows or skylights, the sun can come in. Don't exercise in a totally closed-off space.
A great exercise room is going to have a lot of space. This room doesn't even have any furniture at all. It's great for yoga, pilates, general exercise routines and dance.
This room has it all! It has a lot of open space for you to exercise in. It has a lot of light coming in through the windows. And it has a fireplace which you can relax in front of after you've done the day's workout!
I actually believe that a good exercise room has a great TV in it. The TV is a good distraction when doing tedious exercise like riding a stationery bike. It's also good because you can pop in a workout DVD to exercise along with. And if you're a fan of the Wii Fit program then you can use that here too.
Even if it has furniture or a TV in it, the room that you exercise in should be peaceful. This is especially true if you're doing yoga and other meditative forms of exercise but it's a good rule of thumb for any exercise room.
I also think that a good home gym is going to have a clock on the wall that you can easily read. Most people like to time their workouts to make sure that they get in as much exercise as they want to. Without a clock in the room, it's easy to skimp on that exercise time.
If you can't make an entire room into an exercise room then your home office might be a good place to make space for exercise. You can get a break from your computer and easily do some stretching to make your workday less stressful. This makes your home office healthier for you and also makes it easier to fit in fitness throughout the day.
A good exercise room is going to be conveniently located near your bathroom. Here you can towel off the sweat, grab a quick shower or maybe even relax in your home spa.
An indoor pool is a great place to exercise. You can swim laps in any weather. You can also set up a stationary bike or other home gym equipment around the pool to get a full workout.
Of course some people prefer an outdoor pool for swimming laps. This isn't quite as good since it means that you can't exercise in inclement weather but combined with a good small exercise room indoors it should be great for regular workout routines.