I'm fascinated by the idea of pilgrimage. Indeed, without being too pretentious about it, I've always regarded many of the walks I've done and journeys I've made as pilgrimages of sorts. However their real meaning or, if you like, spiritual significance often doesn't become clear until long after the event.
During our Norfolk weekend we visited Walsingham. In the Middle Ages this was second only to Canterbury as England's greatest pilgrim destination. Walsingham became a shrine in 1061 when Richeldis de Faverches, a local well to-do widow, received a vision of the Virgin Mary, who revealed to her the house in Nazareth where the Annunciation had taken place and where the Holy Family had lived after the birth of Jesus. To quote from James Harpur's book Sacred Tracks (2002):
Walsingham came to grief in 1538 during the Reformation, and the priory to which the shrine was attached became a ruin. Only one elegant arch remains (see photo). However its revival began in the late 19th century, and now people come from all over the world to visit both its Anglican and its Catholic shrines. Despite the odd shop selling Mary-memorabilia and general tourist tat, this historic village is essentially peaceful and unspoilt. We loved it there and will go again. I'd like to retrace the route known to the medieval pilgrims (many kings and queens of England among their number) as the Walsingham Way - popularly called The Milky Way, which was also a name for the Way of St James, the famous Camino pilgrimage route to Santiago de Compostela. Remember that Bunuel film?
Apart from Harpur's book mentioned above, I'd recommend, out of the many, many books on the subject, Nicholas Shrady's Sacred Roads: Adventure from the Pilgrimage Trail (Penguin Books, 2000) and Jonathan Sumption's Pilgrimage: An Image of Mediaeval Religion (Faber & Faber, 1975). I also very much enjoyed On Pilgrimage: A Time to Seek by Jennifer Lash. In 1986 Lash learned she had cancer, and after a painful operation embarked on a solitary pilgrimage through France to Santiago. She died in 1993. She was a remarkable woman. She had 7 children; 2 of them were the actors Ralph and Joseph Fiennes.