What is so important about the western wall?

The Western Wall was built as part of the expansion of the 2nd Jewish Temple, approximate 20 BCE. It is a retaining wall of the Temple mount that was built by King Herod.

Jews generally say prayers at the Western Wall, and there is a tradition of placing notes inside the wall's cracks.

The western wall is so important to Jews because it was the remnant of a Jewish temple that romans had earlier destroyed. When that proportion of Jerusalem came under Arab control, it was difficult for Jews to visit it to pray. Now that the wall is under Israeli control, both Muslims and Jews have access.