A vampire den was an establishment in which humans paid to have their blood sucked by vampires. While the humans who engaged in this activity got off on the adrenaline rush, the vampires got money and food without the inconvenience of leaving behind corpses that might attract anti-vampire activity. However, there was the danger of people dying accidentally or getting killed by vampires pretending to follow the rules.
In Sunnydale, a group of vampires gathered at a vampire den owned by the vampire Whip. In late 2000, Riley Finn became a regular at Whip's place after experiencing the exchange from Sandy, though Buffy Summers burned the facility in retribution; the vampires would later attack the Slayer in revenge, but she staked them all. Giles hadn't heard of them since the 70s in his "Ripper days," while Anya says this type of exchange had existed for centuries.