Well it depends on the style of the town and the style of the leader.
You could be cliched and go for a Dracula's castle theme with gothic windows and candles. The leader could resemble a vampire.
You design the gym like a dark alleyway in a mean city. The gym leader could be punky or maybe like a thief or assassin (V For Vendetta style!).
The gym could have an Alice in Wonderland theme. Think Tim Burton and think creepy. The gym leader could be based on the Queen of Hearts, the Mad Hatter or even a twisted version of Alice herself.
My 4th idea is to have a creepy carnival. I'm already using this idea for Pierrot, the 2nd Elite 4 member in my hack who resembles a dark clown and uses a mix of Dark, Ghost and Psychic but I'm sure you could come up with something original enough to differentiate the two and I'm far away from scripting Elite 4 etc.
Alternatively it could be similar to the film Saw and have blades and spikes and just be generaly malicious in style. Think of this ride at Thorpe Park (
http://www.youtube.com/watch?v=3QYQZd1es6c&feature=related).
I can think up of more ideas pretty quickly but those are the ones I have at the moment. Hope they help you along!