The Red Room of Pain is a room in Christian Grey's apartment where he practices BDSM in the novel "Fifty Shades of Grey." The room housed all kinds of sexual paraphernalia such as whips, kegel balls, restraints, a St. Andrew's Cross, sex furniture, and chest full of sex toys.
It is important to note that pain in the context of BDSM is used not to inflict punishment, but to increase arousal and sexual pleasure.