My game room has a bedroom, but it's because it was already spec'd when the house was built. Otherwise, was unfinished.
When I did the layout, I added a bath with a walk-in shower, and also added a "family room" space with a fireplace. 2900 sq. ft. to work with, and ended up with 2200 feet of game room space. The separate sitting area in that part of the room makes it a nice touch and is frequently used as a gathering space. The walk-in shower gets used all summer, and is the very best way to build a shower - no glass and no maintenance.
The bedroom isn't used, since there are extra bedrooms upstairs. I thought about making it a specialty room, but the problem is, it's off the beaten path of the rest of the game room, so it would isolate whoever uses that room. I have slot machines, and considered setting up that room as a "high stakes" sort of theme, but still, by separating it from the rest of the room would likely make it a place where no one really wants to go. I kind of regret carpeting it and in hindsight, should have finished the floor the way I did the main game room.
That said, I might install a hidden book case wall in front of the bedroom door, and create a hidden space for who-knows-what. The thought of that is intriguing...
Here's the speak-easy family room. Glad I kept the space for that, as it does get used all the time.