Two come into mind: Figaro Castle (FFVI) and Princess Peach's castle (Mario 64).
And freakin' FFVIII Ultimecia's castle (FFVIII).
On the PS3, maybe Anor Londo from Dark Souls (at least, it's one of the most gorgeous). Some of Oblivion's Castles were decent, Skyrim had some nice ones, like Dragonsreach (although it may be a palace instead of a castle?).
Not in a Video Game, but just to sneak it in: http://tinyurl.com/3xvrjv6
Dipan castle from Valkyrie Profile Carmilla's castle from Castlevania: LoS Black Stone castle (Samael's castle) in Darksiders 2 Maleficent's castle in Kingdom Hearts: Birth by Sleep Alchemist's castle in Haunting Ground Salazar castle in Resident Evil 4
http://card.psnprofiles.com/1/Ygdrasille.png Waiting for: Beyond: Two Souls, Tales of Xillia, Dragon's Crown, Ys: Memories of Celceta, Muramasa Rebirth