Sherborne's old and new castles are definitely worth a visit. The impressive 'new' castle (http://www.westdorset.com...) built in 1594 by Sir Walter Raleigh, and on the opposite side of Sherborne Lake lie the ruins of the 'old' castle (http://www.westdorset.com...), destroyed in 1645 by a fierce siege. Also, take a look inside Sherborne Abbey (http://www.westdorset.com...) to see it's impressive fan-vaulted roof, and visit the nearby Fleet Air Arm Museum (http://www.westdorset.com...) with its comprehensive collection of naval aircraft.
