You can make many kinds of safe rooms for many different purposes. I am not going to talk about a panic room where you can hide in case of a home invasion that is a totally different idea from what I want to talk about.
One of the big ones talked about is the Expedient Safe Room for Chemical Incidents. It isn't just about terrorists, there are many HAZMAT incidents across the country and a terrorist attack can just be considered a badly placarded HAZMAT incident.
Some scientists went out after the 1991 Gulf War to see if the Israeli idea of sealing off a room is one that would actually work.
The link is to a pdf that explains how effective duct tape and plastic sheeting really is.
It is most effective if it is 10 mils thick or more. You can get 10 mil plastic sheeting at Home Depot, Lowes and other home improvement places.
If you live in Tornado Alley a tornado safe room is a good thing to build into your home. A place without windows near the center of the home that is well protected. If you have one of these then upgrading it for chemical incidents is not hard at all.
If you live anywhere it is good to set up a safe room, often this can be the master bedroom, The idea is to set things up so you can be comfortable in case the power goes out or some other or all other utilities go out for a few days. Basically, you are looking to have a well insulated room, an alternative source of heat or cool (if you live in someplace like Tucson), a small fridge for essentials like medicine and milk that is powered by some alternative source, e.g. batteries, solar power, or generator which is outside.
Look at what can happen and think how you would react.
Knowing what you can and should do is half the work.