I control a Grafdigger's Cage. My opponent sacrifices Windswept Heath to fetch a Dryad Arbor (forgetting the Cage). Is the Dryad a legal choice that will not come into play, or have they the ability to find another land after showing their Dryad?

The Dryad Arbor is a Forest, so it's a legal choice for Windswept Heath. However, when the creature attempts to enter the battlefield, it does so from the library, and Grafdigger's Cage says “NO.” The Arbor remains in the library, and then the instruction to shuffle the library is completed.

At Regular REL, I'd certainly educate and then allow you to choose a different Forest. At Comp/Pro REL, "you chose … poorly".

d:^D