Windsor was always a favorite. It’s a castle, so it’s secure and imposing. Henry updated it to be more comfortable for his many wives.
He built a massive gatehouse and a new chapel. You can still see the "Henry VIII Gate" today. He also stored his vast treasure here, including the Crown Jewels.
His most peculiar habitation? He had a private library full of books on theology. The guy who famously broke from the Catholic Church was a huge nerd for religious debates.