From 1985 to 1994, I lived in Manhattan in a big old loft right off Times Square. I could walk to work, which was in a couple of Broadway theaters, to Howard Stern's studio, and to 30 Rock for Letterman and "SNL." Even in New York, walking to work is homey and folksy like living in a small town. Walking to work in Manhattan is like living in a sexy, expensive Mayberry where Gomer was always out and proud.

My business partner, Teller, decided he wanted us to move to Vegas. His parents were elderly in Philly and mine were elderly in western Massachusetts. Teller decided that where we ended up when we were 50 was where we were going to die, and he wanted to die warm. Warm to Teller is Vegas. It's the stinking desert. It's either neon or dirt. Nothing can live here. It's like he wanted us to die on the moon.

In 1994, Penn & Teller moved to Vegas, and for the money I dropped for a condo in midtown Manhattan I could own a bunch of stinking desert and build a big stupid house on it. I bought a tiny A-frame in the middle of 10 acres of desolate dirt. I bought the A-frame just because Teller thought it was funny for me to have an A-frame in the desert. He was the one who first saw it and it was his idea for me to buy it. I would build a big house around a little A-frame.

I started working on my dream house. I didn't consider resale value. Worrying about resale value is like worrying about those cellphone pictures taken of me at that Vegas Fetish and Fantasy Ball—they only matter if I'm going to sell my house and be on the Supreme Court. Neither is going to happen (it's all political). I built the house like a 12-year-old with money. I've never had a drink or done any recreational drugs, so I wasted my money on firepoles and secret rooms. We called my home the Slammer, after the slang term for the BSL-4 Patient Isolation Suite at the U.S. Army Medical Research Institute of Infectious Diseases at Fort Detrick in Maryland—I got a tour there and thought their "slammer" was a place I could be alone, you know, if I had Ebola. After enough people misunderstood the name, I kind of fell into a prison design motif. I still had enough taste left to not to change the name to "The Penn-itentiary," but I had fences around it, a real prison toilet, lots of concrete blocks and very small windows. There's no income tax in Vegas, you can smoke, gamble, drink and hire prostitutes, but my neighborhood still wouldn't allow the fancy razor wire I wanted on the top of my double sliding gates.

The house was funny and fun for all my friends except the few who had done real prison time. They got a little jumpy at the big-house verisimilitude. From the outside, my Slammer was all prison, but from the inside it was all goofy. I had a big movie theater and a big pool, carny games of "chance" and arcade machines. I'm not really a collector, but I had some other sideshow memorabilia along with the carny games that had been busted and confiscated. I had Tiny Tim's ukulele and suit, some weird Sun Ra things, a full garage-band setup (with giant amps) and jazz-band setup (with an upright bass and a grand piano) and lots of pictures of porn stars. Home sweet home.