Everyone needs a break from the bustle of the big city and the stresses of battle. The My Room feature gives you a personal space within the city to store items and collect your thoughts.
It also serves as a fast-travel hub so you can reach all the areas you've already discovered quickly and conveniently. Every time you enter the land of Rumania you will start in your Room. Where you go from there is up to you.
Fortune bonuses can be obtained here as well.