Metolius has some excellent guides for adding climbing walls and such to a home. Will I ever build such a thing? In my dreams, mabye. But it will be really nice if I can pull it off in our new home.
For additional info, indoorclimbing.com has a great site: Build a climbing wall and build a campus board (which has some nice info on how protective well various substances such as bark and pea gravel protects you).