Only two of the series guest villains ever discovered Batman's true identity: Egghead by deductive reasoning, and King Tut on two occasions (once with a bug on the Batmobile and once by accidentally mining into the Batcave). Egghead was tricked into disbelieving his discovery, and Tut's recurring amnesia made him forget both times.
Of the big four criminals (Riddler, Joker, Penguin, and Catwoman), only Riddler never entered the Batcave. However in the movie Return to the Batcave: The Misadventures of Adam and Burt, Riddler finally entered the Batcave.