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Transport - (ferries, trains) as early as possible if you know when you will be travelling. Though ticket purchasing if often a game of poker between you and the operator.
Attractions: It makes almost no difference. Edinburgh, Stirling, Doune and Urquhart are owned by the Crown via Historic Scotland and you can get multi site passes.
Eilean Donan, Dunvegan, Duart are privately owned.
But buying in advance does not necessarily save money for Crown or private owned properties.
Car rental: You can book as soon as you're pretty sure of your dates. Most rental reservations (even those prepaid through AutoEurope) can be cancelled or changed up to a couple of days ahead with no penalty. So booking ahead is low--risk but waiting might mean that you have to settle for a different car type than what you wanted, or even cars selling out in high season.
Train tickets: Short-distance tickets may not have much or any advance-purchase discount. If there are discounts, some may be available as late as 24 hours ahead. Book both legs of a roundtrip together, if making a roundtrip. You can see rate variations at www.nationalrail.co.uk. Trains don't require seat assignments and therefore cannot sell out.
Castles: Rick's Scotland guidebook indicates that the only reason to book online for your first two castles is to avoid a ticket line in person in high season (not because tickets will sell out). Eilean Donan tickets are sold in the local tourist information office.
Ferry: If you're taking the ferry instead of the bridge, p. 291 of Rick's book suggests that, "In summer, it's smart to reserve a spot on the ferry the day before, either online or by phone."
