According to Wikipedia, the first official 'escape room' was Real Escape Game in Japan. However, I can't find anything about a physical escape-the-room type activity before that, and I seem to recall having been to something of the sort before 2007, when Real Escape Game was developed. (I keep thinking Wannado City, but I don't think that's it.)
So: were there any escape-the-room type games before 2007, even if not marketed as an 'escape room'?