If I remember correctly Alfred Hitchcocks "Rope", which is mostly dialog driven, takes place entirely in one room. It is also, ostensibly, one continuous shot; the camera would pass behind some ones back (to black) at the end of a reel of film and then pick up at the same spot with the next reel and continue the motion to foster the illusion of real time. All of the shots are four to ten minutes long.
I was going to mention ROPE very specifically. The story and characters had better be amazingly compelling or else you'll lose the audience.
Another reality is that if the characters aren't really pretty or famous, that's a huge strike against the movie too. The current (2009) climate for audiences is very much for pretty and/or famous. The market for no name star movies has died and gone away. One that is entirely dialog driven and in only 3 locations runs a serious financial risk, nonetheless an artistic challenge.
Hitchcock knew the business well enough to know that he hinged the fiscal success of ROPE and it's risky one location idea on casting Jimmy Stewart....
It is a "movie business" and a lot of people forget the second word in that phrase.
A feature like TAPE from Richard Linklater (shot in DV with Uma Thurman, Robert Sean Leonard, and Ethan Hawke) knew this and stacked the name stars heavily in their favor. It takes place entirely in a hotel room, but staring at famous people makes it somewhat less risky both financially and with the investment of the audience caring.
Even Bob Odenkrik's feature (also shot DV) MELVIN GOES TO DINNER, based on a play used the technique of flashbacks and introductions outside the restaurant to "open the film up" and keep it visually interesting and not entirely locked to the single location. It still had cameos from JACK BLACK and DAVID CROSS to help the star power.
As long as either your investment is minimal and this is a practice, then I say go for it. If you're putting in a lot of money, then know the risk of not using that money on star power.