[zwieback]

I've heard that you can make it in your food processor, takes a couple minutes. I've never tried it but Bob's Red Mill thinks it can be done.

[jfk13]

Or give it a bit longer and you've got icing sugar (or powdered sugar, as I think it's called in the States).

In virtually everything I've baked, though, it works fine to just use granulated. You may have to work a little harder to make sure it's truly all dissolved, that's all.

[ghaff]

The other thing you use caster/superfine sugar for is for some cocktails. Basically, it's a lot easier to dissolve in cold (or at least room temperature) liquids than regular granulated sugar is.

[zinckiwi]

Very true, I make homemade lemonade by just stirring it into lemon juice and cold water. No need to go through the simple syrup route.

[zinckiwi]

Icing sugar (at least as I know it in Commonwealth countries) also contains cornstarch/cornflour.

[dragonwriter]

As does US powdered/confectioners sugar.