The bunker is where you start the game in the quest A new world.
Joe Wheeler bought a bunker in the middle of the desert and stocked it with food for 365 days in case an apocalypse happened. It did. He went there and, as the game says: "Today is Day 365. You must go search for food."
As you start the initial quest, you get further and further away from the bunker, making one think you aren't going to return there. But after Isham Seely replies, saying that towns are bad to live on since they attract zombies, Joe Wheeler suggests that the 3 of them go to his bunker to stay there for the time being. After doing several missions, such as Insulin, the Home Improvement quest appears, which Isham Seely says that they need to improve the bunker and task the player to make him build several things, like a Shack, Wood Fences, a Wood Gate, etc. There is even a related achievement called There's Too Many of Them Out There, which for completion you need to completely surround your bunker with fences and gates.