If you own your home a good place is the far corner of your basement/crawlspace. Clean it up and hang some sort of wall to make a small room. Pile some junk in front and around to make it look like a messy storage area.

A small 3 by 3 ft area w/ a 400W HPS is big enough to give a lot of personal smoke.

If you don't own your own home then outdoors is your safest bet. Growing indoors in a rental requires extra security, odour and noise control, and a contingency plan in case the landlord needs to come in on short notice. In this case locate the grow area away from appliances and fixtures that may need repair or service.