Although we had a brief discussion about Jon Huntsman Jr, which naturally included religion, this is the first genuinely religiously oriented question! All religions have history, and for most religions this history goes pretty deep into the past. Even if the actual religion is fairly modern, almost all of them claim lineage or origins from much deeper historic events (such as modern Neo-Paganism associated their beliefs and practices with the pre-monotheist Gods, or Islam claiming ties as far back as Abraham).
In the practice of many religions, pilgrimage is an important part of the process of being a member. Islam even considers the Pilgrimage to be one of the Five Pillars on which the entire religion is based. For other religions, pilgrimage isn't required, but it is still considered to be a sign of faith, commitment, or simply a route to a magnificent religious experience which deeply enhances faith.
What pilgrimage have you always wanted to embark on for your religious group?
If you aren't particularly religious, are there any sites that hold deep historic significance for you for one reason or another (such as Valley Forge, or Stonehenge, etc)?
Either way, where would you like to visit as a pilgrim? What about it makes it special to you?