Zacatecas Cathedral is the city's masterpiece, a baroque explosion of pink stone facing the main square. The façade is the thing to study: not from across the plaza, but close enough to see the density of carving around the portals.
The interior is plainer after 19th- and 20th-century changes, so do not rush inside and miss the exterior. Late afternoon is the best time, when the cantera glows and the square fills with people.