They actually built one in Lima, Peru in the middle of the 1800s. It has sense been torn down. You can see what i looked like here:
The horror of the true Panopticon is that the cells have no doors, just metal fences, and they all face into the center where the guard tower is located. The prisoners are under direct observation at all times, and never know when they are being observed.
The closest to a "true" Panopticon may be the old Joliet prison in Illinois:
It still had doors, though, so you could sit down with your back against the door and not be visible.