Any basement, assuming you have the parts on hand. You still need fermentation vats, liquid media, etc for brewing bugs. The way US security was prior to the WTC attack, someone could have driven across the border with the parts for a nuke in the car boot and just said "No, officer" when asked if carrying any fruit or vegetables.
I heard the National Enquirer claimed they were a target because they ran a story saying Bin Laden's hatred of the USA started when an American girl laughed at the size of his reproductive parts. Oh, now it all makes sense...
"That might have been the biggest mistake of my life..."
"It is unlikely. I predict there is scope for even greater mistakes in the future given your obvious talent for them."
Vila and Orac, Blake's Seven