From Homestar Runner Wiki
The Trog-Cave is the cave Trogdor lives in. The cave is first seen in Peasant's Quest Preview, when it shows Trogdor burninating something and lightning strikes. Its first fully-explorable appearance is in Peasant's Quest, where Rather Dashing confronts Trogdor. Unfortunately for him, this resulted in burnination. The Three Keepers of Trogdor also live in the Trog-Cave. They each have their own part of the Trog-Cave. Strong Bad enters the cave in 8-Bit is Enough, where it looks like the King of Town's castle on the inside.
The "real" Trog-Cave seen in Peasant's Quest Movie Trailer might be a background of a cave or a computer graphic design of a cave. The Trogdor in the Trog-Cave is a puppet.