The large, nearly empty, space has concrete and steel walls supported by steel beams. It was apparently in the former Beacon Hills Railroad Depot and is dominated by a large rusting subway train car.
The location of the lair within the city limits of Beacon Hills is shown on a map the Hunters are using in their attempt to track Derek's location.
After the resurrection of Peter Hale, Derek moves back to Hale House. It's unclear if this is because the Hunters were closing in on the lair, or because Lydia had found him there and he felt the location was no longer safely hidden.