Lisa's Underground Bunker is a protective bunker that Lisa (somehow) built herself for either to protect herself or to have a peaceful place to study.
Lisa's bunker first appears in the Season 1 episode, "April Fools Rules", where Lisa apparently builds it to shield herself from Luan's harsh pranks. She refuses to let Luna to come in with her, as Lisa becomes prepared for Luan, much to Luna's disappointment. Later, after Luan escapes from a failed plan of Lincoln's (which is to lock her in a cage), Rita and Lynn Loud Sr. asked Lisa to come in. She eventually agreed, after promising her parents not to punish Lisa for her explosions.
In Season 2, it is mentioned in the episode, "No Such Luck", where everybody bans Lincoln from their activities from calling him bad luck (which is technically Lynn's fault). At Lynn's softball game, Lincoln then wonders that he really is bad luck and thinks of moving into Lisa's bunker.
It appears once more in the Season 3 episode, "No Place Like Homeschool", when everybody needs to study for their tests so they went to Lisa's bunker for peace and quiet. Unfortunately, they end up getting distracted easily by the noises and smells they make. The bunker also comes with an air horn used to scare away post-apocalyptic mutants and/or Mr. Grouse.