Yeah, in the US, if you have a basement, it's most often finished or at least partially finished, with walls and insulation and so on. Teenagers often like to hang out there because it offers semi-private living.
See TV shows like "That 70s Show" for a prime example.
Most basements have small windows at the top and many have light wells, where the ground outside is dug away to allow light in (and to make a place for a ladder for fire safety).
>I cannot imagine living in a windowless room, feels like a dungeon or torture room.
The vast majority, if not all, of basements I've seen in North America have their ceiling above ground level and as such tend to be surrounded with small windows.
Many, but not all, will have their own separate entrance also.
See TV shows like "That 70s Show" for a prime example.