I tend to castle early. Certainly in the two games I'm currently playing I castled long before my opponent.
The advantages are that it gets your king out of the centre and into hiding, gets your rooks closer to the centre and gives you something productive to do while you try to get a grip on the position. It's rarely flat-out wrong to castle so it's a move you can make if you can't see any other particularly good ones.
You might castle later if you don't expect an attack from your opponent any time soon(in which case developing pieces might be better), if you think many pieces are soon to be traded(in which case your king might be better in the centre) or if you're waiting to see which side your opponent will attack on(so you can castle out of trouble in a cowardly manner).
In the opening I seem to find myself rushing to castle. You know e4 knight bishop and then if all seems well I castle and breathe a sigh of relief. But sometimes that gets delayed -like in the Ruy when my opponent plays the a pawn and I have to retreat my bishop. Yet always on my mind is to hurry and castle. And I wonder if sometimes I castle at the expense of playing something better. So I ask - How awful is it if you don't castle soon? I see sometimes my opponent seems to wait a long time to castle. And yet I don 't ever remember his losing a game to me because of his late castling. And yet until I have castled I feel uneasy. What is your experience when you find you can't castle early? Stwils