Make it tragic, make it real.
Vampires have lots of time. Time to take up very intricate, tedious projects. When faced with eternity, and with the inability to easily travel, they need something to keep from going crazy with cabin fever.
So..
Miniatures room
Maybe a large room that contains a miniature replica of the entire country--or world. The vampire, with his high Dexterity and ability to float around, can create incredibly detailed miniatures. Think of the most intricate model railroad set you've ever seen and multiply it by 11.
Art room
I really liked the idea of paintings of sunny scenes. Maybe the vampire, what with his super senses and all, has taken up art. Thousands and thousands of incredibly well-painted canvases, either carefully filed or discarded in heaps. Fantasticly realistic sculptures. Maddeningly clever poems. Impossibly intricate orchestras.
Sun room
A room filled with artificial light, done up to look like a beach, or a field of flowers, or something else the vampire will never see again. Maybe it has a magical sunrise or sunset, complete with heat and a moving sun crawling across a domed sky. Everything in this room is mechanical or Conjuration, since Illusions don't work on vampires.
Record room
The vampire, being removed from life, has collected records of the lives of others: stories and histories, of course, but also stolen love letters, deeds, wills, doctor's notes, prescriptions, party invitations, obituaries, birth certificates, tax records, grocery receipts--anything that proves that a person exists and is connected to the web of life. The vampire collects them, admires them, despairs over them.
Portrait room
Similar to the above. The vampire tends to kill whoever he gets close to, so he admires from afar--often, for centuries. This room is covered in portraits of a family through the ages. Either his own, or his children's, or a stranger's. Think of the crazy Robin Williams character in 1 Hour Photo.
Trophy room
This room contains trophies of would-be vampire hunters. Instead of being boastful, the room contains honorable tributes to the lives of these deceased heroes. The vampire admires their courage, and despairs over having to end their lives. Among the trophies are tributes to the loved ones the vampire hunters left behind (and perhaps records of financial recompass that the vampire had delivered anonymously). Of course, the (locked) room next to this one contains the mad, undead shells of these heroes.
Mirror room
This room contains hundreds of mirrors each mirror has a garment next to it, and on the mirror's surface is a painting of the vampire wearing that garment. In this way, the vampire can pretend that she is trying on clothes and admiring herself.
Room of Sensation
Vampires have super senses. This room is filled with music, breezes, scents, herbs, textures, exotic art, and light. Magical devices control the sensations, and they are real--Conjuration-based, since Illusions would be useless.
Room of Solitude
See above. This room is for sensory-deprivation. Perhaps a (clean) water-filled room with permanent Darkness and Silence spells.
Game room
Billiards, darts, cards, and the like, but also vampire-only games of skill, such as speed or balance games beyond human ability. Also: "role-playing games", which let the vampire do good, become a hero, love, see the sun--all in his imagination.
Map room
The vampire cannot easily travel, so he travels through maps. Lots of maps. Maybe he sends out expeditions so he can explore vicariously. Perhaps he has a crystal ball, or a magical spyglass that casts clairvoyance on attuned baubles (which he distributes around the world).
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Those are a just a few. Have fun!
-z