The Wailing Wall (also known as the Western Wall) is a big part of the Jewish religion. The wall is the remaining wall of the holy edifice that stood on the Temple Mount. The Jews go there to weep and mourn for that edifice and pray it gets rebuilt.
The wall is also the site of many Abraham related events. There, he showed his devotion to God by willing to sacrifice his son. It is the place where his son, Isaac went to pray and where the Holy Temple was built according to Judaism.