The sewer home of Splinter and the Turtles, where they lived for the 15 years after their mutations.
The secrecy of the lair was breached when a Foot ninja followed Raphael home and observed the Turtles caring for April O'Neil. When the Turtles later escorted her to her apartment, the Foot invaded the lair, kidnapped Splinter and left the place in ruins. The Turtles subsequently abandoned the lair, as it was no longer safe to remain there.
Upon their return to New York, they returned to this lair temporarily in order to rest and regroup before setting out to find Splinter.
It was mentioned in the second movie, where Raph suggests they can always go back there. But Leo nixed the idea, reminding him the Foot already knows of its location.