Perhaps the most important room for any Underlord who desires to delve into Greed, the Treasury will allow you to amass a massive treasure trove of gleaming gold.
In many ways, money is a form of magic in its own, and thus having as much as possible of it generally is not the worst of ideas. Sadly, your own dungeon core can only store up to 16.000 pieces of gold, a number that is pathetically small for every Underlord (or investment banker) worth his weight. This is where the vault comes in.
Each vault tiles can store up to 1000 gold pieces, so a proper 5x5 vault would allow you to horde an additional 25.000 gold pieces (plus whatever gold you have lying around your Dungeon Core), ready to be spent at your discretion. You can even move gold from one vault to another by picking up gold from the former and dropping in the latter.