Easy to do, major glitch.
Start a new game, and goto rescue Zelda. Once you rescue her, find any ledge you can hop off of. In mid-air, press Select and Save and Quit. Start the game again, and let the guard hit you. Once he hits you, you glitch out and can walk "through" the Castle.

You can walk through a lot of Dungeons and even find the room with the Triforce Triangle (ending the game). (less info)