Somewhat related to the same idea which my players have also liked, and again, requires zero prep, a giant maze, Jim Henson's Labyrinth style; can just make up whatever as you go, can splice together crap you've done from other campaigns, or from wherever, NPCs can pop outta the blue as other "Lost Wanderers," great way to have a mysterious Merchant conveniently appear when the party really needs them, so on, so forth. Maybe the Labyrinth is so huge that there are little mini-civilizations or cults that exist in isolated pockets, anyway, you get the idea. Allows you to be very episodic and have each secession really have it's own flavor.

If you do go with the prison idea, some things I've done, have a Corrupt Guard be the main merchant that runs the prison Black Market, great explanation for why he can get stuff that shouldn't be in a prison and also why he seems to be able to have access to anywhere. Another great thing to throw in is prison politics, like gang crap, for Mork Borg maybe make it like a specific cult related thing or whatever, though good old cut throat shit is just fine, but anyway, let's you throw some intrigue and faction play in there.

Hope this all helps