The Western Wall, or Wailing Wall is located in the Old City of Jerusalem. Constructed of ancient limestone it is considered holy because of its relation to the Temple Mount.
Outside of the barrier there are fountains for washing your hands before entering to pray and one aspect of note is that you should not turn your back to the Western Wall as it is considered disrespectful. The Wall itself is filled with nooks and crannies that you can slip a small paper with your prayer written on it. I was filled with reverence and awe while visiting such an ancient and important historical site that is still being used to this day.