I was introduced to BDSM in Second Life, and while I agree that the experience there pales in any comparison to real life, it is an extremely safe environment to try out a variety of things. Beside public and private dungeons, there are wide ranges of play areas such as Capture/Roleplay Simulations (Gorean, medieval, fantasy, sci-fi, etc..), prisons, BDSM schools, maid training, slave auctions, TV/TS gathering places, and sites dedicated to practically any fetish imaginable.
One way to greatly enhance BDSM-related experiences is through the use of an alternative Second Life viewer known as Restrained Life Viewer (downloadable from here). This viewer for the game allows the player to grant various levels of control to a dominant or play partner (restricting movement, communications, controlling wearing of clothes or restraints, etc..)
As in real life, finding compatible partners is not a simple and easy process. Without knowing your specific leanings and desires, I couldn't suppose to tell you exactly where to go. However, you may search on these places in game to find nice and playful people, if that is your style:
Bondage Playground (typically more popular during European hours, I think)
Bondage Ranch (often very laggy, but busy)
Estate Obscure (femmes only)
Stonehaven (lots of fun cages to be caught in)
Kingdom of Sand (medieval Arabian capture/roleplay Simulation)
the Crack Den (contemporary urban Capture/Roleplay)
Pandora's Box Prison (not a real prison experience, although there are more hardcore prisons around)
Republic of Hayao (superheroines in peril roleplay simulation)
I still serve a Mistress there, although I spend less time there now as my real life experiences are growing more common and frequent. She has taught me so much about what to expect in RL, and is totally supportive of any effort on my part to explore real BDSM. I could not have made the jump without her help, and I love her dearly for it. Please enjoy your journey.
May your service of love a beautiful thing; want nothing else, fear nothing else and let love be free to become what love truly is. -- Hadewijch of Antwerp
As a rule, I don't like to make general statements.