BABY GATE!! My 2 year old twin sons share a room because they want to be together. I have a baby gate at their door so they can open it and know that they can see out...leaves out anxiety issues...but they cannot get out...which allows us to get some sleep. They, too, wake in the middle of the night and play, play, play. They used to open the door and SCREAM at the top of their lungs...which kept the whole (my husband and I) up all night! I finally tried the stop light from One Step Ahead. When the light is red, play in your room quietly, when the light turns green, mommy will get you out :) My boys are true boys and up hard core in the middle of the night. After 4 or 5 nights of them yelling out the door (fan on, pillow over my head, tv on, to block out then noise!!!) they FINALLY GOT IT!! It really was hard, but I had no choice, I needed to SLEEP!
Hope this helps!
Good Luck!