Spoiler warning! Major plot details and endings below. (Skip section)
In the original version of the first Dead or Alive, the stage was used for Kasumi when the player fought against her in arcade mode.
In the first chapter of Dead or Alive Dimensions, the Danger Zone is used for the final rounds of the first tournament. It is also where Kasumi (with the aid of Ryu Hayabusa) avenges her brother, Hayate, by killing Raidou. Immediately afterwards, Kasumi is kidnapped by DOATEC.
The Danger Zone is a closed-in, square cargo-lift, which carries highly explosive, toxic material stored in large tubes fixed in the walls. The lift either descends or raises up the underground shaft as the fight taken place within it. If anyone impacts into the walls, the tubes will explode, inflict bonus damage upon them. According to the in-game map in Dead or Alive 3, the stage is location in the South-West of America; very likely in the state of Nevada.
Danger Zone 2 is similar in design, but is stationary and instead features a series of spotlights that focus on the ring.
Dimensions features a variation that begins, stationary, above ground, then begins descending for the second part of the boss fight against Raidou. The palm trees above ground seem to imply a tropical location.