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Since the time of Jesus many Christians went to Jerusalem because they wanted to actually walk in the places where Jesus walked. In particular, the pilgrims wanted to walk the street where Jesus carried his cross on the way to be crucified. It is called the Via Dolorosa, the way of pain. It became the custom to stop at certain places along the route ("stations") to remember what had happened there.
In 1342 the Franciscan monks took over the care of many Christian shrines in the Holy Land. They also started to build shrines with "stations" of the cross in Europe where pilgrims could go to remember Jesus' suffering and death without having to travel the long journey to the Holy Land. In time most Catholic (and many Anglican) churches came to have 14 "stations" of the cross where people could walk the route, and pause to stop, pray and think at each.