I have a "smoke room" out in my "shpo". I just finished lining it with t&g cedar so it may one day become a sauna; yeah right. It is about 8' x 8' has an exhaust fan for circulation, 37" TV w/dvd, heaters, and the fridge and humidor are just out in the "shpo".
Doesn't beat my neighbors root cellar bar though. So I split my time between the two places.
When you live as far out as I do you get pretty creative and as cold as it can get you must have someplace warm to go.