Amazed and pleased by the first response, I composed a second letter to LEGO, in which I pleaded for a list of castle sets. I loved the Armor Shop and the design that implied a city wall, and really wanted to build a whole walled LEGO city. But in order to do so, I needed either more sets, or more ideas. It was really a pointless exercise, as I didn't have enough money to buy such sets if they had them, but I was burning with curiousity.
This time, the response was less personalized. Ok, it wasn't personalized except for the little P.S. at the bottom. To make matters more interesting, it was obvious that the person who signed this letter was not the same person who signed the first. I wasn't upset at LEGO, but I was disheartened, and I haven't written back to them since:
Note that the letter states that no list of all LEGO sets is available. The LEGO Group has never put together such a list, but several groups on the internet have done so, including Pause Magazine, and you can find most sets in their growing archives even now.