Here is a list of possible locations for your wall, they are listed from most desirable to least:

Garage: Usually the Idea place because they typically have large open areas with exposed structure. Separated from the rest of the household will keep you from distracting or annoying the rest of your family. Chalk dust isn't a problem, since you're just in the garage. The other good part of a garage gym is the heights are typically taller than an indoor room in the house, you can also hide your dirty little training secrets. If you choose to build in the garage, remember to allow room for cars and storage.

Basement: 2nd best option, the temperature is consistent (potentially cool in the summer), Out of the way. Unfortunately basements tend to be short, lack natural light and have poor ventilation. I have had 3 different basement gyms, and every one of them was fun, and challenging. Besides bouldering is a great laundry night pass time.

Attic: Good for overhanging walls, but it will be noisy for the rooms below you. Oh yea Heat rises (in case you didn't know), so this will be the warmest of the indoor spaces. If you are going to put one in an attic think about an Air conditioner or fans. The wall design will also be limited because of the cramped sizes of a typical attic.

Interior rooms: This could be any room in your house, usually not the best options for a climbing wall. These areas are harder to anchor to the wall because they are usually finished spaces (drywall). Chalk is more of a problem, and your interior designer will go crazy trying to match wallpaper and curtains to a room full of plywood and plastic.

When it comes down to designing the wall you're best resource is the local climbing gym. Go see how they angled walls, added features, and what type of holds they used. It is also a good idea to figure out the cost of this project before you start cutting wood. This will help lessen the number of times you have to put off construction (till the next paycheck), or run to the store for more T-Nuts. You can make walls for specific training, or mix shapes together. Mixing up, and combining these shapes will give you the greatest versatility for training, and fun. This mixing of shapes is more complicated construction; you may need the aid of a professional to do so. Your greatest asset in designing a home climbing wall is your imagination; almost anything can be built. Wood is easy to work with, and once you get in a groove the process will go quickly. Remember to consider this a learning process and the next wall you build (or add on) will benefit from the first construction. Have fun with it, after all it is only a climbing wall...Not the Louvre! Small gaps and edges add character to your surface, and can act as natural features. The most important thing is to make a strong frame, and have a bomb proof anchor system.

Vertical
Just as it sounds the wall design and construction is easy. Simply a vertical surface with holds on it. Overhanging, this is any wall that leans out over you, with any angle or degree. Overhang walls can be as easy as vertical walls to build.

Stair step wall
It is like looking at the bottom of a staircase. This simulates blocky overhangs you might find on real rock. The steps can be made at any angle(s), with the framing creating a good storage space. The framing is more involved.

Bending wall
This is my favorite for long traversing problems. It is essentially an overhanging wall, but the wall's angle continuously gets steeper. You need a space the width of at least 3 plywood panels (16ft.) to get an interesting effect, the longer the better. These walls start a reasonable overhang angle (say 10-15 degrees) and bend as the wall continues to end up with a more drastic overhang (30-45 degrees, depending on the length).

Combination walls
Overhanging to Vertical, This wall starts out overhanging (25-45 degrees) for 4 ft or so, then meets a head wall (0-15 degrees). This will promote good footwork, because you use your feet mush more to stay on. You really should have about 9 ft of height for this design.

Vertical to Overhanging
This is just the opposite of the above design. It starts out on a short slightly overhung wall (5-15 degrees), and proceeds to overhang with increasing angles. These work well where you have low height restrictions.