Your castle can receive bonuses or unique features when you develop some buildings to a certain level. All bonuses come into play every day after the downtime (at 01:15).

Walls

50th level - damage received by the wall decreases by 25%.
100th level - damage received by the wall decreases by 50%
150th level - damage received by the wall decreases by 75%.
These bonuses disappear when the wall is totally destroyed, not when it goes below certain level.

Factory

12th level - castle storage is enlarged to 39 slots. (cities already have 39 slots).

Roads

12th level - castle receives the opportunity to move by 1 cell. Must comply with the rule of minimum distance between castles (5 cells).
24th level - the owner of the city can send caravans to this city from any other of his settlements and from units based in any other cities. Works same as item transfer.
32th level - the maximum number of caravans that can be sent to this city is raised to 30.

Blacksmith

15th level - you gain 1 additional slot for your recipes.
32th level - city receives a safe with a capacity of 12 slots. Artifacts and runes placed in the safe do not deteriorate. The safe does not disappear even if the city is destroyed. (it can be found afterwards). You cannot keep resources or units in it.

Mage tower

12th level - mage tower gains 1 additional slot for recipes.
24ht level - your settlement attacks with magic in defense mode.

Watch tower/Observatory

12th level - you can make enlarged snapshots (10 cells radius).
24th level - Hidden magic in 1 cell radius from the center of your shot is captured on it.

Shop

4,8,12,16... levels - slot’s capacity for resources/scrolls/units is increased by 100.

You can install new shops in the city:
2nd shop - if the 1st shop in the city is already level 12
3rd shop - if the sum of the levels for the first two shops is over 36
4th shop - if the sum of the levels for the first three shops is over 72