I did one in NYC that had a cool theme. It was a dungeon, and we were all monks or something, with robes and hoods. We all started with the hoods over our eyes (so we couldn't see anything) and trapped (one chained up with one of those boards over the neck and arms, and the others in locked cells). It was set up like an old torture dungeon. The entire thing was dark but there were a number of small (electrical) candles you could find. You had to search around for the clues to unlock each door.
We had four people (I think it could have fit five) and ended up making it out with about five minutes to spare.
Edit: To clarify, there were a number of rooms you had to go through, so it wasn't just getting out of the cells and chains. Once we were all free, then we had to go and find the clues to unlock the first door, which led to another room, which you had to solve, and so on.