There are reasons why we can't walk through walls. Using magic, though, those difficulties fall away. In fact, for a wizard in an otherwise-almost-magic-free world, walking through walls or falling through floors is an ability he can harness on cue.
The wizard has used his powers for evil, though, and after a long war against him and his armies, he has been defeated. The victorious army wants to keep him alive but imprison him. They quickly realize that this is a very hard thing to do, as he quickly runs out of a normal prison cell. In fact, they discover that he can escape from anything - ropes, handcuffs, etc. They only manage to move him from one place to another by constantly sedating him.
How can they imprison the wizard without keeping him unconscious all the time? They only have medieval technology, though, so their options are quite limited.
They want to imprison the wizard somewhere on the planet they live on, which is earth-like.
Some notes from my comments:
- He can pass through anything, but he has to hold his breath.
- He can designate an area of ground where he will not fall through at a given point in time.
- He can't fly; most of his other abilities are unknown, but he cannot transform some materials into others. It seems that there's nothing else he can use to escape.
- There are no other known wizards.
The army want to put him somewhere where
- He cannot escape
- He can survive with food and water periodically given to him, and with a source of air (and ventilation)
- High-level officers can interrogate him
This location must be somewhere on land, and must either be a natural feature or be buildable by medieval technology. This means that he can't be put in water, outer space, etc. (fortunately, these have not been suggested by anyone).