Bug: After getting all 120 stars and using the cannon to get to the top of the castle, if you walk around enough at the highest point you will fall through the roof and into a hidden dimension of the front wall. Going through the door itself will not let you escape, so you must jump through the wall to reach the outside.
Bug: In Shifting Sand Land it is possible to fly while holding your hat. If you let the condor steal your hat, hit him so that he drops the hat, but do not pick it back up. Instead, use the warp by the oasis tree and warp back and forth a few times. Then, get the wing cap and use the cannon to fly to the hat. When you pick it up, you will be holding the wing cap in your hand while flying.
Chosen answer: It doesn't lead anywhere - it is an exit from a bonus star level if you end up dying.