Some of the churches are said to be built on sites where important things happened in the Bible. For example, the Church of the Holy Sepulchre is said to be built on the site where Jesus was crucified and resurrected... according to Catholics. According to some Protestants, it is located outside the city, and the place is called "The Garden Tomb". The Garden of Gethsemane (and the church in it) is said to be the place where Jesus was arrested. The church of Pater Noster is where Jesus taught His disciples the Lord's Prayer. The place is really awesome, with the Prayer being displayed in over 100 different languages. There are many other churches, as well as Jewish and Muslim places of worship.
While I don't know whether these buildings are the exact places of Biblical events, the architecture and art that have been put into them are astounding. The beautiful buildings, paintings, murals, and iconography leave a deep impression on people who go there to see them.
It is important to remember, however, that what is important in the long run are not the churches themselves, beautiful as they are- but Who they portray. Jesus Christ walked in this city, did miracles in it, and was crucified on the outskirts of it. He rose from the dead from a tomb that may or may not be located at the Church of the Holy Sepulchre. What is important is that He did this for all of us, and that we can believe in Him. For those of us who put our faith in Him, His teachings- especially those about how we are to treat our neighbours- should be at the forefront of how we live out our lives with fellow human beings.
Pictures of the Holy Sepulchre, where Catholic and Orthodox and most Protestant Christians believe Jesus was buried.
The Garden Tomb, where some Protestants believe is His actual burial place.