Batu Caves, just about 30 minutes outside of the city, have several Hindu temples inside. They can actually hold several buildings. Great place, but you have to walk up 292 steps to the top and another 50 in the inner temple. Multiply that by two.
The guide said that for every step you take going up and down one sin is forgiven. At least that is a little more difficult than buying indulgences or making a handsome donation to the church. There are actually other caves but they are not developed although a tour is offered by some travel company.
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