Rajan's really pulled out all the stops to impress people with this party.
Rajan's palace was an Indian palace owned by Rajan, and was used by him as his residence and one of his main bases of operations.
Not much is known about the palace, except that it was bought by Rajan, who claimed it to be ancestral, prior to the events of Sly 2: Band of Thieves.
Rajan was a member of the Klaww Gang, and participated in the robbery of the Clockwerk parts. He got his hands on the Clockwerk wings and held a lavish ball in the Palace to show off his new acquisition, which got the attention of the Cooper Gang, who were after the Klaww Gang to prevent them from using the Clockwerk parts for evil.
In "A Starry Eyed Encounter," Sly Cooper, Bentley and Murray infiltrated the Palace and the ball, and in a successful heist stole the Clockwerk Wings. After this, undercover INTERPOL agents Carmelita, Neyla and the Contessa raided the Palace, forcing Rajan to abandon the ball and flee to the jungle.
The Palace grounds consist of various places and buildings:
Located in the Palace's main building. It is a large hall with balconies and the ball was held there. In the center of the room is the dance floor and a large statue where the Clockwerk wings were welded to.
The second largest building in the Palace. It is located on top of a big rock across a bridge. The guest house lodges the guests of the ball and Rajan's personal dormitory is also located there. In "Steal a Tuxedo," Sly ransacked the guest house and stole himself a suit to be let into the party.
Rajan's center of business in his Palace. It is a large room with multiple computers that are used f.ex. to control the ballroom winch. It also has a vault-like room stuffed with suitcases full of money and the safe of Episode 2.
A stall building, that houses Rajan's prize elephants. In "Elephant Rampage," Sly stole the gems in the elephants' headdresses to create a durable saw.
A bridge, that when lowered, connects the Palace and the mountains. In "Lower the Drawbridge," Sly stole six keys and used them to lower the bridge, so Bentley and Murray would gain access to the Palace.
A large cave in the mountain outside the Palace walls. The Cooper Gang used it as their safe house during their stay.