The Vedha Shala — also known as the Jantar Mantar — is one of five observatories built across India by Maharaja Sawai Jai Singh II of Jaipur in the 18th century. The instruments include a large sundial (Samrat Yantra), a celestial sphere, and several specialised devices for measuring the altitude and azimuth of celestial bodies with the naked eye.
Ujjain was chosen for this observatory because of its ancient astronomical significance: the city sat on what was historically considered the Indian prime meridian, and Hindu astronomical tables had been calculated here for two thousand years. Jai Singh's observatory was built to correct errors in the existing tables and update the calendar.
The observatory is quieter and less developed than the more famous Jantar Mantar in Jaipur, which makes it possible to examine the instruments closely without crowds. A knowledgeable guide from the site can explain how each instrument functions — well worth asking for. Small admission fee.