Maha-parinibbana sutta, Digha Nikaya 16:
“Ananda, there are four places the sight of which will arouse strong emotion in those with faith. Which four? Here the Tathagata (enlightened one) was born, this is the first place. Here the Tathagata attained Enlightenment, this is the second place. Here the Tathagata set in motion the Wheel of the Dhamma, this is the third place. Here the Tathagata attained final Nibbana without remainder, this is the fourth place. The monk or nun, layman or laywoman, who has faith should visit these places. And anyone who dies while making a pilgrimage to these places with a devout heart will, at the breaking up of the body, be reborn in heaven.”
I like pilgrimage, but that's me. It is not a requirement, like say, for the Muslims where it is one of the 5 pillars of Islam.
But if you have the means and the interest, it is a great devotional practice and a chance to meditate in the same spots the Buddha and the arahants did. It was very humbling and pleasant to be in the company of other pilgrims from around the world.
But by no means will one be any the lesser for not going. Practice can be done anywhere, in an apartment, house, even a basement.