Pilgrimages mainly have a religious purpose: to connect the creator (Allah, God) with the created (humans). It is also reminds one of one's obligation to God and obedience to his commands (as written in whichever Holy book you believe in). It is a rejuvenation and an attempt to purify oneself and seek forgiveness of sins for having broken God's commandments.
The pilgrimage to Mecca is very special for Muslims as it is one of the Five Pillars on which Islam is built, being compulsory to perform Hajj (the visit to Mecca wearing the prescribed dress and following the prescribed rituals) if one is rich enough to do so. Being compulsory, the pilgrimage to Mecca attracts over two millions pilgrims and is the largest gathering on earth, held every year in the month of Zil-Hajj. The Kabba was originally built by the prophet Abraham and is covered with gold embroidery. It gives the direction in which all Muslims face when offering their prayers, five times a day.
Another purpose of pilgrimage for the non-religious is business, which has been going on since ancient times and embodied in Chaucer's Canterbury Tales.
The Waling Wall in Jerusalem is sacred to the Jews; also Aqsa Mosque in Jerusalem and Bethlehem. Bodh Gaya for Sikhs and Pushkar for Hindus are some of the places for Pilgrims.
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