For years, when former NYPD Blue actress Gail O'Grady, 34, went to bed, she dreamed of... another bed. She had spotted an elaborately carved design in a Beverly Hills shop window. "But whenever I'd go by the store," she says, "it was closed." One day her pal Madalena Morgan, a counselor, was thumbing through Architectural Digest. "I saw this bed and couldn't believe my eyes," Morgan remembers. O'Grady phoned the firm listed in the credits and placed an order. "My friends laughed because it is so over the top, and so am I," says O'Grady, who is divorced from her former manager Steven Fenton and who shares her 6,500-square-foot Encino, Calif., home with her cousin Stacey Herring, her brother's ex-wife Angelica O'Grady and her niece Caitie, 4. ("I have the room for them," she says.) The boudoir also shows off some 36 perfume bottles that O'Grady says she began collecting "when I was 6 and I absconded with a bottle from my Aunt Vivian's house."