The most appealing of the many explanations for the name of the hill that dominates Zacatecas is that bufa is an old Basque word for wineskin, which is apparently what the rocky formation looks like. The views from the top are superb and there's an interesting group of monuments, a chapel and a museum. It is also the site of a zip-line, Tirolesa 840, a 1km ride cross a former open-pit mine.
Once up the hill you can also visit Capilla de la Virgen del Patrocinio. Named after the patron saint of miners, this 18th-century chapel has a holy image of the Virgen del Patrocinio above its altar that is said to be capable of healing the sick. Standing next to the chapel are three imposing equestrian statues of the victors of the battle of Zacatecas – Villa, Ángeles and Pánfilo Natera. To the right of the statues, a paved path along the foot of the rocky hilltop leads to the Mausoleo de los Hombres Ilustres de Zacatecas, with the tombs of Zacatecan heroes from 1841 to the present.
A convenient way to ascend La Bufa (to the church and museum) is by teleférico. Alternatively, you can walk up, starting at Calle del Ángel from the cathedral's east end. To reach it by car, take Carretera a la Bufa, which begins at Avenida López Velarde, a couple of kilometers east of the center. A taxi costs around M$60. You can return to town by the teleférico or by a footpath leading downhill from the statues.