Goreme Open Air Museum
This is the one place that everybody who comes through Cappadocia goes. It's a nicely packaged instant version of what the whole area has to offer and it's the exact point to start.
The open air museum is about 2 km from the town of Göreme itself and you can comfortably walk it. Walking in Cappadocia is usually fun anyway. As you approach you'll pass the bus park on your right, complete with its row of souvenir shops, and on your left the buckle church (Tokali kilise), one of the finest examples of frescoes in the area. Entrance is included when you buy your ticket at the main gate so you'll probably end up visiting it on the way out of the museum. Try not to forget it.
It is impossible to give details of all the churches and rooms in the valley here as you could easily spend half a day wondering about and looking at them all. Basically what you'll find is the remains of a monastic community who made their home in this valley. Most people are struck by the frescoes and the quality of these varies from excellent to very tatty. Keep an eye open for the strange symbolic decorations in some of the smaller churches and chapels. Bear in mind when buying your ticket that the Karanlik church (recently restored and with the freshest frescoes) is not included in the price and will cost you extra.
Over the last 2 years or so an extensive protection program has been put into place. The churches are very prone to erosion and to prevent this they are slowly being covered with a resilient artificial surface designed to halt their gradual destruction by nature. This looks kind of weird at first glance but it makes sense.
The frescoes that many tourists come to see can be divided up into Pre and Post-Iconoclastic. The earlier works rely entirely on symbolism to communicate their messages and may look childish and simple in comparison to later works. Their form is a result of the early church's disapproval of the portrayal of the human form in religious art. The works which postdate the resolution of the Iconoclastic controversy (mid 9th Century - see Ecumenical Councils) are much more figurative. It is interesting to compare them and realize that both styles are telling the same stories of Christ and the Saints.