Nonesuch Palace is a palatial residence of King Henry VIII of England, built in Surrey to the south of London. It is arguably the grandest and most luxurious of his palaces and castles, even surpassing his favorite residence of Hampton Court.
Nonesuch began as a concept in Season Three of The Tudors, when Henry isolates himself in his chambers after the death of his third and favorite Queen, Jane Seymour. His fool, Will Sommers, is the only one allowed in, presumably to cheer him up. Henry shows him the plans for the palace, asking what details he approves; Will sarcastically replies that he likes everything about them, except everything about them.
This is a subtle attempt to get Henry away from his delusions of grandeur, but the King doesn't want to listen. He explains that he drew the designs for Nonesuch- so named because there will be no palace like it in the world- with the intent of trumping the French King Francis' opulent residence at Valois. Sommers points out that, inevitably, the palace will be worn down, as nothing will last forever, and that eventually someone else will build a new "Nonesuch" of their own; Henry argues that it will still be worth doing, as the memory of the palace- and the knowledge that he created it- will endure. Sommers replies that then the palace will only exist in people's heads, as it does in Henry's head now, and that it has no more value than a dream. Breaking down over losing Jane, Henry acknowledges that Will is right, but that the dream of Nonesuch is all he has to dull his pain; Will replies, "I know...so dream on."
The designs for Nonesuch Palace are eventually handed to Thomas Cromwell and Sir Richard Riche, who are despaired by Henry's inability to run the country and his exorbitant spending on grandiose palaces; all the money Cromwell has funneled into the exchequer is being wasted, putting England severely into debt. However, both loyal to his master and unwilling to risk the King's wrath, Cromwell obediently orders construction of Nonesuch to begin. The mostly-finished palace is briefly seen in the Season Three finale, "The Undoing of Cromwell", when Henry brings his new mistress and future queen Katherine Howard there on horseback for a tryst.
Historically, Nonesuch was never completely finished at the time of Henry's death. During the brief reign of his daughter Mary, the palace was sold to clear the debts accumulated in the royal exchequer; it fell back into the hands of the Crown in the 1590's during the reign of Henry's younger daughter Elizabeth. Unlike Hampton Court, which remains intact and restored, no trace of Nonesuch remains.