Let me go old-school on this. In the original Super Mario Bros., the Princess was in a big room right next to Bowser's Bridge, like all of the Mushroom Retainers. In Super Mario Bros. 3, the Princess was in a big room accessible through a door right next to the Boss Fight Room. Super Mario World... well, that's an exception.
In New Super Mario Bros., Peach was hanging in a cage
inside the Boss Fight Room. I believe that in Super Princess Peach, that Peach was fighting Bowser. In New SMB Wii, Peach was in a big cage, near the Boss Fight Room, with a giant switch in front of it. So really, it seems that it's like a game for Bowser; he kidnaps the Princess/Peach in an area easily accessible from the Boss Fight Room, and simply waits for Mario to come and save her, so the Princess/Peach can be kidnapped again.
EDIT: Also, in Mario 64, you don't even
see the Princess until you've rescued her and returned to the Castle.