In terms of the conventional use of English – although one 'can' live in a room, you would normally live in a house, home, apartment, flat etc. and 'sleep' in a room.
That aside, let's look at the sentences:
"This is the room where I live" [Correct, but the above explanation applies. You would normally use 'where' in terms of a place or a town.]
"This is the room where I live in" [Incorrect. The use of 'where' means that the 'in' at the end of the sentence is not required. But you could say 'This is the room I live in'.]
"This is the room in which I live" [Correct.]
"This is the room that I live in" [Correct.]
Hope this helps :)