In high school we used to game under the stairs, it was a great spot because not many people hung out on said stairs and because people thought of us as the people under the stairs.
Two words: Steam Tunnels. (not really, but thats the first thing I thought of.)
A car, were were driving home from a game session with the GM in the car and were were talking character. Not sure if it counts as gaming.
Close. When I was 11 or so, my friends and I crawled into the foundations of my buddy's house and tried to run a game. It didn't last long. I remember the vermin being a real nuisance.
In the car while driving to the airport. We had flown to California (from NJ) to play D&D with some friends. In order to make our flight AND finish the adventure, we had to play in the car. As a side note, the driver was the DM. Great stuff!
The weirdest place for one of our gameing sessions was in the middle of health class (we were learning sex ed at the time). We were writing down the stuff on a note and passed it around the class.