From Wikipedia:- The first competition was held during the 1896-97 season (the second season of the new game), and 56 clubs entered to compete for the trophy. The first final was held at Headingley in Leeds, on 24 April 1897. Batley defeated St Helens 10-3[3] in front of a crowd of 13,492 (see picture). It is interesting to note that the St Helens side did not play in a standardised team jersey.The competition was later interrupted by World War one, though it was held in 1915, when the season that had begun before the war was completed. It was then suspended until the end of hostilities. Initially, the final tie was held at one of the larger club grounds in the north, however, noting the excitement in Huddersfield that the town’s soccer team were playing at Wembley in the FA Cup Final and the increasing difficulty for any of the rugby league grounds to satisfy spectator demand to see the final tie, the rugby league authorities voted 13-10 to relocate to the recently built Wembley Stadium in London, aiming to emulate the FA Cup's success and to put the game on the national stage.[4]The first final held at Wembley was in 1929 when Wigan beat Dewsbury 13-2 in front of a crowd of 41,500. At the start of World War two, rugby league suspended its season immediately, but the Challenge Cup took a single year’s break before restarting, on a limited basis and with the support of the authorities, as part of keeping up morale. The Challenge Cup finals, which took place in the game’s Northern heartland, got big crowds as the game raised money for Prisoners of War and for Lord Beaverbrook’s armaments programme."............ RL broke away from RU in Huddersfield hence its a northern game. We have 2 finals, a FA cup final (our challenge cup) and a super league final, after the season is finished its course if fixture games the top 8 teams are in a knock out game to the final but this gets complicated to explain so I won't bother. The super league final is held at Old Trafford, good location for most finalists either from Yorkshire or Lancashire.