Jail is actually located in city of Justice, and when one is thrown to jail, he is transferred to there.
Warning - spoilers ahead!
There is lots of scret doors in jail, you can get out by getting keys, and then searching walls for secret doors.
If you get out from jail cell using cell door), there is trapdoor (loose brick) next to the grate, just one step south from your cell door. If you step to it you will drop down to that dark room with rat.
On that room, there will be secrets around, just search. You should take a look of small details carefully on room walls. There is slight difference between normal wall and the wall having secret door.
Post edited August 18, 2012 by GoingDown