Hey man.
So I am going to address this a bit differently then Ayrlego and Jordan.
First, here is a flickr album containing all of my own, personal builds using the textured, messy technique, and some links to two of the best castle builders (in my opinion)
David Hensel,
Luke Watkin,
Album.
Second, here is a list of colours I think are extremely useful.
Both old greys are great if you can get them, they work well for old, disused buildings.
Light bley (as others have said, extremely important for castle builds.)
Dark bley (for rocks mostly, could also be used for buildings.)
Reddish brown (good for paths, landscape, trees.)
Dark brown (very good for, landscape, trees, parts of buildings (tudor for example).)
Old brown (if you can find any for a reasonable price, works for trees, landscape, etc.)
White (snow, not much other use.)
Tan (paths, desert lanscape, insides of trees, lighter coloured trees.)
Dark tan (paths, landscape, any sort of muck, (pig pen, etc,) thatched roofs.)
Green (plants, so trees, underbrush, bushes, etc, maybe roofs or tudor.)
Dark green (same as green, can also be used in landscapeing.)
Sand green (same as the other two, will not work for trees though (no sand green leaves.)
Olive green (same as the above three.)
Trans-clear, lt blue, md blue, dk blue, and green (water, swampy water, stained glass, ice.)
Any sort of blue (for water)
Sand blue (rare, if you can get it, awesome. Use sparingly in buildings.)
Yellow (not very castle-ish, but could be used for hay roofs.)
Dark red (works well for buildings, landscape, or as dried blood.)
Sand red (if you can obtain it, use in buildings sparingly, and maybe landscape.)
This is all for now, if you would like, I could also put together a list of pieces I find useful in building fantasy/castle.
Enjoy
CCG