Contrary to popular perception, the Western (Wailing) Wall is not the most holy site, in and of itself. It is only part of the entire Temple Mount which is the actual most holy site in Judaism. Judaism anticipates a future rebuilding of a Third Temple as per the book of Ezekiel.
As it is considered the interface between the spiritual and physical worlds, all Jewish prayers are directed there. If a Jew lives West of the Temple Mount, they face East when in prayer. If a Jew lives South of the Temple Mount, they face North when they pray.
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Jewish places of worship are called synagogues. They have a certain level of holiness in that God is close when prayers are offered to Him.
A synagogue may be anything from a singe room (a shtiebel) to a large building. Synagogues contain a seating area, prayerbooks, a holy ark in which the Torah scroll is kept, a ner tamid (eternal lamp), a special table (bimah) for placing the Torah when it's read out loud, and a lectern (shtender) facing the front, at which the leader of the prayers stands.
The holiest of Jewish buildings is the Holy Temple, which was destroyed 1950 years ago, and one wall of which still stands in Jerusalem (the Western Wall).
In Hebrew it is called Beth Knesseth: a combination of the Beth Ha-Knesset (House of Assembly), Beth Ha-Midrash (House of Study), and Beth Ha-Tefillah (House of Prayer).
In Judaism, different terms are used according to your tradition. The Orthodox and Chasidim may call it a Schul (Yiddish). Conservative Jews usually use the word "Synagogue". And Reform Jews call it a "Temple".
Synagogue is a more common answer as the term "Temple" can offend the more traditional Jews (as it refers to the holy site in Jerusalem) and "Schul" is unfamiliar to many "modern" Jews.
Answer 1
Actually what was once the holiest building for the Jewish People, the Temple in Jerusalem, no longer stands. It was destroyed by the Roman army over 1900 years ago. The site where the Temple used to stand, the Temple Mount, (where the Dome of the Rock and al-Aqsa mosque now stand) is the holiest site for the Jewish People, and the vast majority of orthodox Jews will not stand foot there because we don't have the required level of ritual purity. The Western Wall, which borders the Temple Mount, is therefore considered the holiest accessible site for Jews today.
Answer 2
Beit Knesset: that is the Hebrew word for a synagogue, where we pray.
Beit HaMikdash: that is the Jewish Temple, which stood in ancient times in Jerusalem.
To read about current Jewish places of worship, please see the Related Question.
In general: synagogues, where we pray; and batei-midrash, which are places of Torah-study such as yeshivot. Specifically, the sacred Jewish building was the Holy Temple, which was destroyed in Jerusalem about 1950 years ago and of which one retaining wall still stands.
The main Jewish Holy Site is the Western Wall in Jerusalem.
Jews also have local centers of prayer and communal organization called synagogues.
Jewish religious buildings are called Temples and Synagogues by English-speaking Jews. The word "Shul" is used when using the Yiddish language or Yiddish vocabulary.