As a Christian I believe that you can communicate with God wherever you are - that location isn't important. Because of this I've never really understood the concept of pilgrimage. This changed for me on a recent trip to the Holy Sepulchre in Jerusalem. This mammoth church contains some of Christianity's most sacred places since it is literally built around the hill where Christ was crucified and is a pilgrimage site for Christians the world over.
Unexpectedly, my time in the church left me profoundly moved. This wasn't because of some special "power of the place" but was more from the sense of community that came from worshiping among thousands of people who all share my core beliefs. The sense of belonging this created was like nothing I have ever felt. Sure, I've been to large Christian gatherings before but none had the deeply reflective quality that came from being among pilgrims. Deeply profound.