Imposing architecture and breathtaking scenery combine to make Ha Ha Tonka State Park one of Missouri’s most treasured spots. Located on the Lake of the Ozarks, the park features the stone ruins of a turn-of-the-20th-century castle built by a prominent Kansas City businessman high atop a bluff. More than 15 miles of trails traverse the park, leading visitors to sinkholes, natural bridges, caves and down to the lake.