I've helped set up spaces like this in the UK after seeing what is possible from SAPs Dublin app house. Creative spaces that have the right tools and atmosphere can seriously increase a teams ability to work out new innovative thoughts and come up with workable solutions.
We haven't specifically called it a war room but we have had fantastic results setting up a space for agile development teams to thrash out ideas.
Key things I always recommend :
Supply of good quality post it notes of various sizes and colours.
Supply of flip board pads - the ones with the sticky edge on the top.
Lots of whiteboard pens
Sharpies in lots of colours
Portable whiteboards of various sizes
Large clock you can stand up - one with a timer is best so you can time box brainstorming sessions.
Tour the Google Ventures war room in San Francisco: http://youtu.be/BcjS6-ocLik