I would stress the "Safety First" advice, too. Always leave yourself an out, even if it means getting someone else involved, which, in itself, can add a bit of fun to the game. If you're using rope, learn your knots, and how to keep the restraints from being too tight. If you are using chains/cuffs/locks, keep an extra set of keys available, or with someone who will come check on you or that you can get to.
Now for some fun suggestions...
1) Prisoner Restraints- trying to roam around the house with ankle cuffs, hand cuffs, and a waist chain can brighten up an afternoon of chores. A trip to the hardware or adult toy store can get you most of what you will need. The pet store can be a good source, too, with a little imagination.
2) Secured to your desk- Try just chaining yourself to your desk or some other stationary object. It doesn't have to be much, just a loop around your ankle or waist. Using a program like TimeLock or EmlaLock and a combination lock gives you a limit to be free. As a twist, try locking your clothes to the desk/object, so that you can leave, but only after stripping naked.
3) Lock-outs- The classic lock out dare gets more interesting if you add a set of handcuffs, especially if you put the keys in different locations. If you are really adventurous, you can make almost a scavenger hunt out of it, where you have to visit several locations to get keys to unlock the next location to get different keys, etc.
be safe and have fun.