According to the Game of Thrones wiki, Harrenhal is considered cursed; it has had a long succession of houses that inhabit it, that then go extinct.
However, it doesn't explain the manner in which they go extinct.
What reason is it?
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Harren the Black was the man who built Harrenhal (short for Harren's Hall). He was the King of the Iron Islands and the Riverlands. When Aegon I Targaryen arrived in the Riverlands, Harren and his sons hid inside Harrenhal, believing that its mighty walls (it was, and still is, the biggest castle in Westeros) would protect him.
He was wrong. Aegon's dragon Balerion the Black Dread simply flew over the walls and breathed his fire into the castle, roasting everyone inside and melting most of the castle with it. Harren and all his issue died that day.
Aegon then gave the castle to House Qoherys who, like the Targaryens, were originally from Valyria. Eventually, for reasons undisclosed, House Qoherys died out.
Then it was given to House Towers, who also died out. Reasons unknown.
The castle then went to House Harroway who were related to King Maegor I Targayen through marriage. They too went extinct.
Harrenhal was then given to House Strong. Several members of that house died in mysterious fires, until that house died out.
The next lords to occupy Harrenhal were House Lothston who had a very fearsome and gruesome reputation. Lady Danelle Lothston was said to send giant bats out to capture children for her cookpots, and a mad Lady Lothston (possibly Danelle) is said to have bathed in blood and feasted on flesh. The last of the Lothstons was killed in unknown circumstances.
The last house to live in Harenhal was House Whent, whose founder was originally a smith working for the Lothstons. When the War of the Five kings first broke out, Lady Shella Whent surrendered the castle to Tywin Lannister.