It serves as a redoubt when the city is attacked in the Battle of the Blackwater. Queen Regent Cersei Lannister hosts the women of the court there when the city is attacked by King Stannis Baratheon. They take refuge in a sparse stone walled room fitted with bunk beds. Cersei has a larger double bed on a dais.
In the books
In the A Song of Ice and Fire books Maegor's Holdfast is a massive square fortress inside the heart of the Red Keep behind walls twelve feet thick and a dry moat lined with iron spikes. It is a castle-within-a-castle. The royal apartments are in Maegor's Holdfast.
The Holdfast also contains the Queen's Ballroom, a hall only half as big as the Small Hall in the Tower of the Hand. The Ballroom seats one hundred and has beaten silver mirrors behind the wall sconces which makes the torch's light seem twice as bright. Its walls are paneled with richly carved wood and it has a gallery above the main floor. High arched windows sit along the south wall.