When I was very young, it used to be cardboard boxes - I'd take one out into the garden (we had long grass in the bit my mam hadn't got round to gardening) and stay there until it was too dark to read!
I then got my own room and, although it was my parent's decorating choice, it was my space - again, usually on my bed - where I could hide away (now with a cat!)
When I was at school, I played piano, so managed (with much begging and pleading) to be able to use one of the music practice rooms during breaktimes so I didn't have to go outside with everyone else - I didn't always play, I'd sit and read sometimes, but it was my space...
I then bought a house as soon as I could (21!) and then the whole house was my haven! I had 2 lovely kitties and loved long bubble baths and the ability to have my music on wherever I was in the house...
I then moved in with my partner (I miss my old house!) and it was "his house" - I never really found a hidey-hole and ended up quite stressed - I couldn't even have bubble baths as there was a problem with the boiler and it would only run hot for a short while... I liked being in the garden, but I am very sensitive to cold, so it wasn't very often I could go out...
We have now bought "our house" and it's an amazing house. I love it... I wouldn't say I have a hidey-hole yet, but I do have the opportunities of hot baths and as he's often on his computer, or in bed (which is his hidey-hole and always has been), then I have the living room with our big comfy sofas and I can snuggle up in my old woolen blanky and the cats can sit around me (we now have 4) while I watch telly or read or sit and stare into space... OK - when I think about it, maybe that is my hidey-hole, but I just hadn't realised it...
I would have liked it to be the bedroom, but as that's his hidey-hole, if we're having a "discussion", we can't both hide in the same place... I've now got a seat outside, but again, it's still cold, so it's not always an option to hide out there... Maybe if I can find a cardboard box big enough for a 30-year-old!