Mexico City has a rich cultural history, and perhaps the epicenter of it all is the Palacio de Bellas Artes, home to many exhibitions and shows over the years, and an architectural marvel in and of itself. If you'd like to focus on a specific Mexican artist, the Frida Kahlo Museum is perfect, as it is the house she was born and grew up in, and features some of her works as well as those of other Mexican artists.