Guggenheim it .
My fantasy mansion would look like a castle, and be defensible against a pre-gunpowder army.
Lots of stained-glass windows.
A library, with all of the Great Literary Classics, and all of my personal favorites, all printed on acid-free paper, with leather bindings and gilt-edged pages. I would have the works of my favorite authors printed in Gothic letters on vellum, and illuminated like medieval manuscripts. Adjacent to the library would be a small dungeon-themed room for D&D games.
Two theaters. One with a flat screen, and one with a curved screen for Omnimax movies.
A good sound system. Not enough to impress the hardcore audiophiles, but enough to provide a pleasant experience for people who are actually interested in the music.
A small movie studio. I would probably be a latter-day Ed Wood, but I would have the tools to be a Truffaut.
A grand ballroom/banquet hall, with marble floor, mirrored walls, baroque ceiling, and corundum chandeliers. Which I would probably never use, but my grandchildren could rent out for weddings and bar mitzvahs.
A small shrine, reminiscent of the Lincoln Memorial or the Jefferson Memorial, with a larger-than-life statue of me at the center. When entertaining visitors, I would hire actors to wear priest-like robes and chant Latin songs praising me.