The Wax Museum of Fátima occupies a large building a few minutes' walk from the esplanade and tells the story of the 1917 apparitions through life-size wax tableaux. The scenes move through the lives of the three visionary children, the six apparitions between May and October 1917, and the "Miracle of the Sun" witnessed by tens of thousands on 13 October. It is unabashedly devotional in tone, but the production values are high and it provides useful context for visitors approaching the sanctuary without prior knowledge of the events.
A separate exhibit in the same complex — the Life of Christ Museum — covers the life of Jesus through similar wax scenes. The two are often sold as a combined ticket. If you only have time for one, the Fátima-focused exhibit is more directly relevant to understanding what you're visiting. Allow about 90 minutes for both.