Shirogane-sensei in the animeMahoraba takes "bad students" into a darkened back room which the viewer never sees inside, but can clearly hear the resultant screams of despair. Said students invariably emerge with Blank White Eyes and swear never to make the same mistake again.
Washu's Lab experiments in Tenchi Muyo! are often treated in this manner by characters within the series and in fanfiction.
In Penguin Musume, Sakura's sister has set up one of these for her. The lecture room.
The back of the van in Durarara!!. Walker and Erica make a captured enemy pick from one of the graphic novels they have with them and then torture the enemy based on the contents of the graphic novel.
The Labyrinth 's Bog of Eternal Stench might qualify.
Back when Deadpool had a captive old blind lady for a roommate, they liked to prank each other—except when Deadpool had enough and threatened to put her in "the Box." Subvertingly, it was actually explained in detail: it was a room full of really sharp things. Into which he put an old blind woman.
The Red Room in Jane Eyre. Jane gets locked in there for misbehaving; she's so terrified she passes out.
The Chokey in Matilda, which turns out to be a non-lethal (as far as we know) iron maiden.
The "Ginger Beer Trick" in the Discworld novel Night Watch is a torture method left intentionally vague (not to mention Vimes and the guards just trick some prisoners into thinking they're doing it).
The real "ginger beer trick" as used by crooked policemen in Mexico is called tehuacanazo, and it goes like this: the cop opens a bottle of carbonated spring water, traditionally Tehuacán (hence the name), sticks it in your nose, makes you inhale the gas, the gas irritates your nose's sinuses, and your nose hurts like hell. Word of God from Pratchett has confirmed that this is what Vimes had in mind.
The Restaurant at the End of the Universe has the Total Perspective Vortex. The device's function is to make one viscerally aware of one's place in the entire universe, utterly crushing the soul. It IS an effective, terrifying threat, except Zaphod steps into it... inside a virtual copy of the universe created just for him, so it merely reaffirms his personal view that he is the most important being in the entire universe.
The "Waiting Room" in The Mysterious Benedict Society. Students at the Learning Institute for the Very Enlightened are generally terrified of being sent there, but most have no idea what it even is. It turns out to be just a room full of very stinky mud with a lot of bugs swarming around, and none of them are actually dangerous.
From Star Trek: String Theory, the Ninth Dimension. Apparently, the Q and other omnipotent beings dread being Spaced to the Ninth Dimension as punishment, though it's never explained why.
Another example from MST 3 K, "The Assembly Line" from Warriors of the Lost World.
Dr. Forrester himself threatens Frank with several punishments in MST 3 K episode The Day The Earth Froze, but only a threat of "the Box" gets Frank to obey.
In Power Rangers Dino Thunder, Mesogog's "Punishment Chamber" is never shown. The same goes for Astronema's (Power Rangers in Space) favorite punishment — having minions taken to "play with Scrudley," a beast we never get to see but minion Elgar is terrified of.
That Mitchell and Webb Look used a version of this; an estate agent pesters a woman who works with torture victims for the worst torture story she's ever heard. There's a cut-off, and the agent comes out absolutely terrified, schizophrenic and appalled at the callousness of life.
A special 'hidden' record in From-The-Makers-Of-Banzai Banzai knockoff The Peoples Book Of Records remained totally unknown to the viewer until the last episode. The leadup to the record attempt showed the competitor being led to a room beside a swimming pool by a referee. Arty shots of the pool would be shown during the attempt, after which the ref would leave with a flustered competitor, and tell them the value of their record. It was a challenge to see how many times you could slap said referee's bottom in 60 seconds
The dreaded "Awful Waffle" from Salute Your Shorts apparently involves maple syrup and a tennis racket, but little else about it is revealed.
Monty Python's Flying Circus inverts this with the Spanish Inquisitors threatening to fetch THE COMFY CHAIR followed by gasps and shudders as the Inquisitors go to fetch an actual comfy chair. In addition to having to sit in the chair, they poke the subject with THE SOFT CUSHIONS while she has tea. One of the inquisitors does question whether this is all there is to the process before, upon receiving confirmation that it is, eventually deciding that they make it worse by shouting at her. He does... for one of the other inquisitors, who tearfully confesses.
When one considers the casualties the Germans suffered when fighting the Russians in real life (At Stalingrad alone, the total Axis dead, wounded, and captured totaled roughly 1% of Germany's entire population at the time), any student of history would understand why serving on the Eastern Front was a post that people would rather avoid.
Hannah Montana: Jackson's closet. Only the outside is seen, the only thing we know about it is that it's strong enough to make Oliver faint.
Paranoia is set in "Alpha Complex", a dystopian computer-controlled environment where all manner of unpleasant experiences are given euphemistically bright and cheery names like the "Bright Vision Re-Education Center" and "Mandatory Recreational Attitude Re-orientation".
In addition, mages that regularly violated reality too much would sometimes become trapped in a Quiet - a hallucination able to inflict very real pain - both physical and mental - on its occupant(s) through a series of moral dilemmas and soul-testing experiences.
In Psychonauts, the Geodesic Psychoisolation Chambers qualify.
In Super Mario RPG, a hostage is held by a boss and threatened with torture, revealed to be tickling. The action is not seen, the enemy retreats to a building and the player only hears screams of insane tortuous laughter, escalating each time Mario refuses to hand over the MacGuffin.
Conkers Bad Fur Day makes mention of one of these. The Panther King mentions that he "Doesn't want to have to get the duct tape out again.", and his Mad Scientist flunkie visibly pales and becomes much more subservient.
Once he's alone, the mad scientist rambles angrily to himself about how he'll give his boss the duct tape once his plans come to fruition.
Given the character is a weasel, and therefore covered in fur, its not hard to assume what the duct tape is used for. Anyone who's ever tried to rip that stuff off body hair will attest to this.
In the Japanese version the word used refers to a practice where boys are whipped in the junk with wet towels. It's apparently a relatively commonplace highschool prank.
In the manga, the punishment is revealed to be Mitsuru using her Persona's Ice Powers to freeze them up to their necks.
In The Secret of Monkey Island, Guybrush must prove his mettle by reaching into the cage of the fearsome beast that took Meathook's hands. It turns out to be an ordinary parrot.
Also "The Carnival of the Damned", at least for Guybrush.
Zork Zero has a Shout-Out to Monty Python with its comfy chair, with the twist that it's so comfy you die of starvation rather than get up.
Sid Meier’s Alpha Centauri gives us the Punishment Sphere and Nerve Stapling, both of which sound evil in an Orwellian kind of way, but are never described in-game—all we know is that the former cuts scientific research in half in the base you build it in, and the latter is considered an atrocity and results in 10 years of economic sanctions. (It's apparently in the background materials, but only a small fraction of people who bought the game ever saw those.)
A threat of sending someone to Castle Heterodyne is usually responded to with stark terror in Girl Genius. When we get introduced to Castle Heterodyne, you find out why. Wouldn't you be terrified of being sent to repair a building with multiple personalities, all of which are based on the original sociopathic personality, and nearly all of them willing to deal lethally with intruders?
The castle itself seems to contain several, notably the "Red Playroom".
The main character's cellar in Le Avventure Del Grande Darth Vader. So far, it has been shown to have an intentionally misspelled sign above the entry door (TEH DANGEON), and to contain: a couch, a harness to hang troublemakers by their scrotum, two pillory-targets for persimmon-throwing against the faces of troublemakers (marked as "TEH TARGHET") and an ass-kicking machine (an engine that moves two wheels with boots on their spokes, marked as "TEH ASS-KIKING MASHEEN").
An episode of Kappa Mikey involves the "Tatami Room". The version threatened is rather different from the one the characters eventually wind up in.
In VeggieTales: Esther, the Girl who Became Queen, two criminal peas are sentenced to the Island of Perpetual Tickling. We never see the Island, but its mere name brings horror to all, and the peas are driven there by some sort of a Grim Reaper with a feather. Very dark and tense music is played whilst the Grim Tickler is onscreen.
In Invader Zim, every school class receives three "crazy cards" per month. These cards are used to commit students to a mental institution — though never seen for very long in the "real" world, Dib's mind made it nightmarish.
"Not 'Happy Birthday'! NOT 'HAPPY BIRTHDAY'!!!"
The above line comes from a 1950 Looney Tunes cartoon, It's Hummer Time (no, not what you think) where a dog punishes a cat for disturbing his sleep in his attempts to eat a hummingbird (said bird quickly starts tricking him into disturbing the dog). The dog and cat return in Early to Bet (1951), where a Jerkass Gambling Bug keeps inciting the cat to gamble with the dog, with the loser suffering from a roulette wheel of punishments. Eventually, the cat and the bug make a high-card bet— which the bug loses, so the cat subjects it to "The Post" - being attacked with a rolled-up copy of the newspaper The Post.
Aaahh!!! Real Monsters featured an episode in which the main characters went out on Halloween despite having been forbidden to do so. Ickis, the ringleader, is offered three choices of punishment: "1. Something Bad. 2. Something Really Bad. 3. You Don't Want To Know." A rare case of three Maximum Fun Chambers, each more Fun than the last.
By the way, "You Don't Want To Know" looks like a very nice house your very nice granny might live in. For a group of monsters that live in/under a garbage dump, that probably would be utter hell.
Going WAY back, there's an episode of The Flintstones where Fred and Barney are at the mercy of a diabolical megalomaniac who disposes of unwanted individuals in "the pit".