St. James’ Palace - built by Henry VIII between 1531 and 1536, the palace was intended as a residence for Anne Boleyn but she never saw its completion, only staying 1 night there after her coronation. Mary Tudor died at St. James. Elizabeth I sought refuge there. Charles I spent his last night at the palace before his execution in 1649. Charles II, James II, Mary II and Queen Anne were all born and baptized there.