In American dialects it is the predominant habit to use "the" with structures (including "the Brooklyn Bridge," but to omit "the" with places that have less specific or pertinent boundaries (such as a National Park). Often, the use or omission of "the" conveys a particular nuance. "I went to Cowboys Stadium," implies that I went to the general location and/or to many places within the bounds of the place; whereas, "I went to the Cowboys Stadium" connotes a trip to the structure itself, maybe to examine or photograph it, perhaps.
More often than not, however, the use or omission of "the" simply reflects local, regional, or national idiomatic usage. British usage, for instance, says "He was in hospital following his accident"; while American usage is "He was in the hospital…" Likewise with "university"; British omits "the" while American inserts it.
Within America, within California even, denizens of the Los Angeles region insert "the" before freeway identifiers: "I took the 405," "I'm on the Santa Monica"; while San Francisco Bay Area residents say: "I took 101 north to the City," "I'm on Bayshore."