First went here for Sinister Study. This room is very challenging, I was with a group of 10 and we failed to solve it in the time. There are certain aspects of the room which are quite creepy, but it is a nicely decorated room and the clues are very challenging.
Second time I came, we did the Great Train Heist. This room is beautifully done, it actually feels as if you are in an old-timey train! There are 3 hidden rooms within the main room, which adds to the challenge and excitement. My group of 4 nearly solved this, and the staff was nice enough to let us have an extra few minutes to finish.
Aside from the wonderfully decorated rooms, the service is awesome! The staff are very friendly, and teach you how to escape the room if you fail to do so in the end. I highly reccommend The Locked Room, it is quite expensive (especially considering you are paying $25/person to get locked in a room) however it is a fun experience!