I don't let my little man free-roam for the reasons stated above by Ryan. He goes outside in the summer (supervised, hopefully next year his pen will be finished however), and when I'm cleaning his cage or whatnot he gets to roam around the bathroom.
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I have however let my Iguana free-roam the house (not in my room/reptile room) for nearly her whole life (she is 20). However I do not recommend this, as it certainly is not suitable for most situations.