Jump to the section How to create a memory palace if you want to start practicing. Read the Is a memory palace for you? section to understand whether you need one at all.
The brain isn't good at storing things but generating ideas. It also depends on what sort of things, but we tend to forget them anyway. If something is unique or interesting, it's simpler to remember, right?
Hermann Ebbinghaus ran memory experiments on himself. He tried to remember nonsense syllables like "ATF", "UBH". Then, tested how well he could retain the data he's learned. Thus, the forgetting curve appeared.
Some people recollect specific formats of information better. For example, as mentioned, unique or compelling. A well-rhymed poem or a song, which we can't get rid of sometimes. Maybe you also noticed it's simple to remember spatial information. You know where the nearest shop is and where to find the section with bread. Or, where the things are placed at home. You don't remember intentionally where your microwave is, do you? Yes, you see it many times and it stuck in your head well. But even the first time you brought it home - you didn't memorize the place.
You may try to list formats of information you memorize better. In this article, however, I'll talk about spatial representation and associations. These two are the building blocks of a memory palace.