About the location (from Wiki):
Lalgarh Palace is a palace in Bikaner in the Indian state of Rajasthan. The palace was built between 1902 and 1926 according to Rajput, Mughal and European architectural styles. The building was commissioned by the British controlled regency for Maharaja Ganga Singh (1881–1942) while he was still in his minority as they considered the existing Junagarh palace unsuitable for a modern monarch. Ganga Singh decided that the palace should be named in memory of his father Maharaja Lall Singh.

The complex was designed by the British architect Sir Samuel Swinton Jacob. After a ritual blessing ceremony construction commenced in 1896 on empty land 5 miles from the existing Junagarh Palace on what is now Dr. Karni Singhji Road. The palace was arranged around two courtyards with the first and most impressive wing, Laxmi Niwas completed in 1902. The remaining three wings were completed in stages with final completion of the complex accomplished in 1926. Lord Curzon was the palace’s first notable guest. Ganga Singh was legendary for his shikars (hunts) at his hunting preserve at Gajner, in particular his Imperial Sand Grouse hunts at Christmas. As a result the palace hosted many guests including Georges Clemenceau in 1920, Queen Mary, King George V, Lord Harding and Lord Irwin.

Movies shot at this location:
All the Sidhwani wedding scenes from Band Baaja Baarat
Dhum Dhum song from Band Baaja Baarat