Well not that I've thought about it before or anything...
It depends entirely on the type of evil would-be conqueror, am I an evil genius? A lich? A robot AI?
If I was an evil genius, or just regular ole' plain intelligent me, I'd build it either on a private island straight out of James Bond or a "THAT'S NO MOON" style giant space station.
On the private island I'd have a nice above ground mansion, patrolled daily by armed guards, complete with dock, storage wearhouses, and a landing strip. Beneath the ground, and in the side of that volcano you just know I'd need, I'd have an underground base, white hallways, patrolled by men in nazi-esque white outfits and women in skimpy ninja suits. I would have a large long table with a giant monitor with a map of the world on the wall on one side, a giant monitor with my evil logo behind me, and a giant monitor with tons of moving text and numbers on the other side. Each chair on this table sans mine would fold back into the boiling hot MAGGGGGMUH beneath us. This would be activated by both a voice trigger[footnote]Me saying "Amazing work Mr.[insert henchman name]"[/footnote] and a thumb print reader, which requires a pulse of course. The volcano would be hollowed out on the inside with a nuclear missile silo sitting where the inside of the volcano once was. There would be a small cave on the opposite side of the volcano down low, this would be my escape route but it would also serve as a great entrance to my secret base for the heroes to sneak in and kill me.
Inside the space station would be levels and levels of parading soldiers, again dressed like white nazis. (Remember I'm an EVIL mastermind) There would be hangers and hangers of spaceships, we would primarily be a pirate haven. Protecting the seedy underbelly of the galaxy and taking a massive cut off the top of course.
If I was a lich, or had access to evil magic I would live a dark castle deep in the mountains. A massive graveyard of my enemies surrounding my lands, each grave a bed for my trusty undead army ready to rise at a moments notice. This gives a perfect defense as any living being not warded by myself who takes a step near a grave causes three hundred skeletal soldiers wake up killing the intruder. The castle would have three or four floating towers connected to the main keep by magical ropes, each one an escape pod if I ever personally come into any danger. I would have some magical portal to my otherworldly allies which would of course be where the heroes get into my castle. But, luckily, I would never physically leave my main tower which could detach and escape at any time. I would work almost entirely through puppets, the reanimated remains of my former neighbors.