The Malmaison Hotel in Oxford is converted from the old prison, and still retains much of the prison features. The wings look as they did, you still enter many of the rooms through cell doors, the main difference is that the rooms now take up multiple cells! (They're very very nice rooms...) If you're a fan of the TV show Lewis, there was an episode set there, so you may've seen it in that. As you walk around, it feels like a prison, but then you enter a nice room or the bar and the effect goes away.
Otherwise, I think your best bet might be to visit a former prison that's now a museum. Alcatraz is the obvious one that springs to mind, but that is very popular and hence very busy.
Probably the best one I've visited is Maitland Gaol in Maitland, NSW, Australia. It was a jail for 150 years, before recently closing and becoming a museum. I found the audio tour to be better than the Alcatraz one, and it was much much quieter. If you wanted to stay in the prison, then they sometimes offer Fright Nights where you sleep in the cells. I doubt they're up to the luxury of a room in the Oxford Malmaison though!