Note: Not to be confused with the game The Waiting Room is named after.
The Waiting Room is the Executioner's base of operations, where his victims are imprisoned before being dragged to a torture chamber and mutilated for the Red Room. It is the main, titular setting of The Waiting Room, in which the player tries to escape their capture.
It looks to be like an old bunker or an abandoned hospital/asylum, though the grimy, hellish atmosphere makes it seem more like a dungeon. When Larry escapes the Red Room in one of the Endings, it's shown that it's underground and in the middle of a desolate forest, right next to Yellowhead Highway in Canada.