"Bu" can grammatically be either an adjective modifying a noun ("bu saray"="this palace," as opposed to other palaces) or a pronoun standing in for a noun ("bu"="this," i.e. the thousandth room). The comma resolves this ambiguity.
"Bu, sarayın bininci odası." = "This is the palace's thousandth room" [Pronoun usage]
"Bu sarayın bininci odası" = "This palace's thousandth room" [Adjectival usage]
Note that the first is a complete sentence while the second is a fragment.