Mine was done at a sleep lab attached to one of the hospitals here.
There are about 5 or 6 rooms lining a hallway, arranged in a "hotel" fashion with a TV w/cable, a desk, a large bed and a bathroom with a shower (hospital type bathroom with handles everywhere). On the other side of the hallway, there are doors for the technicians and their offices. There is a large kitchen with all sorts of microwaveable foods, cereals, etc. No coffee, no clocks anywhere. I was told to put my watch away and not look at it. There was an "orb" style camera above the bed and speakers/microphones everywhere. The staff was friendly.
I did this twice at the same facility. The first study was overnight. The second study was harder because they asked me to show up early in the morning since I would have to spend all day napping intermittently at 2 hour intervals, then spend the night as in the first one. That day was tough. I was bored out of my mind and even though I didn't think I could do it, I was able to nap on command like they asked.
It was the most expensive couple of nights of my life considering I had to pay the whole $2.5K out of pocket (little did I know). I just tell myself I spent the night at the presidential suite at the fanciest hotel in Vegas.