Hyrule Castle
Hyrule Castle is the home of the royal family of Hyrule. The castle's first appearance was in the game A Link to the Past, the third in the series. Each game that contains a Hyrule Castle either features a different layout, or denies the player access to parts that are available in other games. There are grounds for speculation that the castle is actually a different castle in each game, or that it is the same castle but was changed in each game for aesthetic or gameplay purposes.
The Legend of Zelda
Adventure of Link
A Link to the Past
The castle's parrelal form in the Sacred Realm is the Dark Pyramid.
Ocarina of Time
The Hyrule Royal Castle was home to Princess Zelda and the Royal Family. During Link's first quest to find the magical gems, he managed to slip past Security Guard patrols and met Zelda. After ruining the timeline by accidentally granting Ganondorf acess to the Sacred Realm, Ganon tore down the castle, building one of his own in its place.
When the Sages sealed Ganon in the Dark World and sent Link back to his childhood, the timeline was ultimately repaired, and the castle stood once again. When Ganondorf gained enough power to break out of the Dark World, the Master Sword was secretly transferred from the Temple of Time to a secret chamber underneath the castle to prevent the events of the past happening again. But, when the first descendant of Link drew the Master Sword from his pedestal, he accidentally gave Ganon his power back. They engaged in a duel on the roof of his tower, and the result was the final destruction of Hyrule. Waters poured down, turning Hyrule from a dimension under the Great Sea into a true ocean. The Castle was destroyed.
However, either a new Hyrule was founded, or the Great Sea was drained. Either way, the castle was rebuilt, but taken over by the wizard Agahnim. Link defeated this new thereat and saved the castle once again.
Four Swords Aventures
The Minish Cap
In the Minish Cap Link will not be allowed into the castle for most of the game. He is allowed early on, but after Vaati takes control of the King of Hyrule, Link is not permitted. Later in the game Vaati's power consumes the castle, making it the Dark Castle. Link must navigate the castle to free Princess Zelda from Vaati's curse and seal Vaati away.
The Wind Waker
In The Wind Waker, all of Hyrule being drowned beneath the Great Sea, Hyrule Castle was preserved in a huge bubble. Through the power of the Master Sword what remained of Hyrule was frozen in time. When Link takes the sword the whole Castle comes to life once more but filled with enemies. At the end of the game what is left of Hyrule is lost beneath the waves and the castle lost forever.
Twilight Princess
Link sneaks into Hyrule Castle early on in Twilight Princess, and again after collecting all of the fused shadows, but both times in wolf form. It is here that he first meets Princess Zelda. Link must return later in the game as a human, but rather then being just a castle, it is actually considered the final dungeon.
Phantom Hourgalss
It is unknown if Hyrule Castle will appear in Phantom Hourglass, but it is unlikely considering it was buried beneath the Great Sea in The Wind Waker.