The short answer is political convenience. Royal families typically intermarried with other families as ways of creating political-military alliances or peace treaties.

For example - the house of Hanover in England. Starts with a guy named Frederick V who was a prince-elector in the Holy Roman Empire. He's married to the daughter of King of England James Stuart. Why? Well James was a protestant and there was a desire to strengthen the Protestant powers in Europe and appease protestants at home. Frederick V's father, Frederick IV had founded the Protestant Union in Europe. At the time this seemed like a serious power play for the Protestants. The Union kept Fred V in power in part because they hoped that it would compel England to support the ongoing internal conflicts (like Bohemian succession). Incidently Frederick was also related to the ruling families in France and Brandenburg. Meanwhile, 80 years later England passes the act of settlement in 1701 basically saying only protestants can become monarch. When the Stuart monarchs in England didn't create any heirs, it ended up falling to George I the great-grandson of James Stuart and grandson to Frederick V.

Or take the Russians. Peter the Great has a daughter, Anna. She's married to a guy named Frederick IV of Holstein-Gottorp. Peter wanted European allies. And Frederick had a claim to the throne of Sweden. Holstein is the area in Northern Germany between Germany and Denmark. To keep this simple, there was something called the Great Northern War and there were some in Russia who felt pushing against Denmark and Sweden was the right way to go and Frederick had a lot of potential to make territorial claims. Peter the Great died shortly afterward and plans changed. Anyway, Anna and Frederick's son is Peter III.

The Spain thing is more complicated. So, it starts with a place called Burgundy. Burgundy was a duchy that controlled the territory between France and the Holy Roman Empire. It also consisted of all the low countries (aka the Netherlands). Charles the Bold ruled the duchy, until he died in a war leaving it all to his only daughter Mary. This left Mary a very rich and powerful single woman at age 20. She ends up marrying Maximilian Habsburg of Austria who later becomes the Holy Roman Emperor. The Netherlands were inherited by their son Philip. Phillip is married to Joanna of Castile in basically a move between the HRE and Castile to keep France in check. Castile is basically west Spain, as opposed to Aragon which was east Spain. So, Joanna is the daughter of queen Isabella of Castile and king Ferdinand of Aragon. Joanna's older sibling John dies and she's now the heir to Castile and Aragon. Joanna and Phillip have a son, Charles. Phillip dies before his father Maximilian, leaving Charles V as the heir to both Spain and the Holy Roman Empire.

The Habsburgs in particular notoriously married in ways to expand their dynasty's influence. Marrying into Hungary, Bohemia, and Croatia.

To add to the answer by /u/lawberdasher above, before the unification in the 1870s Germany had a gazillion of small duchies and kingdoms so it was an almost infinite pool of prime marriage material. Lots of penniless princes and princesses with impeccable lineages (which is, for example, where Russia's Romanovs got almost all of their brides, including the future Catherine the Great). And if you need to find someone to rule over a newly independent kingdom somewhere in the Balkans in the 1800s, putting a guy from a cadet branch of some German royal house on the throne was seen as a necessary compromise (as compared to choosing someone from, say, one of the Great Powers).