In a cradle in our room
Avery slept in a rocker in our room until she was 8 weeks old. By 8 weeks she'd been sleeping through the nigh for a while and we felt comfortable putting her in her own room. It was a bit nerve-wracking that first night but we got used to it pretty quick. She was so little that I don't think she even noticed the difference.
With our next I will probably do the same thing: Wait until the child has been sleeping through the night (at least 6 hours) before moving them to their own room. I will, however, get a different cradle next time. Our rocker was great because it was portable and cozy, but it made Avery's torticollis condition much worse. Even if our next kid doesn't have toritcollis I think a flat bottomed bassinet will be better.