So there I was writing a reply, when I figured basically my dream dungeon is what I have already - just bigger and more permanent.
For me it is all about versatility! I like to control and adjust the environment - temperature, lighting, sounds, scent, and haptics! I got different floor materials to walk on, different curtains as backdrops, mood lighting, speakers everywhere. There is trusses all around for attaching bondage gear, toys, and tools.
What would I add with unlimited funds?
First of all, my dungeon would be in space! Playing in weightlessness sounds like so much fun, and much more safe than any underwater shenanigans. Obviously that comes with a centrifuge, because the only thing more fun to play with than weightlessness is gravity working in strange ways!
Another room carved out of stone - an actual dungeon

, complete with dark corridors, catacombs. Rustic decor, cages and a fireplace (mostly for setting the mood).
Lots and lots of storage and workshop space so I am always ready to create a new set just as my creativity demands.
Needless to say, shelves upon shelves of toys, impact implements, rope, kinky clothing in all shapes, materials and colors.
All of it easily cleanable, wanna be able to get messy, and just spray it all down with a pressure washer.
A separate room dedicated just for aftercare!