There are some fairly obvious choices, like The Canterbury Tales, but there are other pilgrimages which don't stand out so readily. H.R. Stoneback, for example, has pointed out that:
"Pilgrimage, the notion and motion of spiritualized travel, is at the center of Hemingway's religious vision and his work from his earliest stories to the final, unfinished and posthumously published novels and memoirs. Pilgrimage variations in his work range from individualized quests to places that are sacralized by the achieved journey, to traditional pilgrimages long held sacred by centuries of pilgrims. Most notable in the latter category of pilgrimage is Hemingway's longstanding devotion to the specifically Catholic Pilgrimage of Santiago de Compostela."
And while we're on the topic of Santiago de Compostela, I have to mention Neil Curry's sadly out-of-print Walking to Santiago. The good news, though, is that his Other Rooms: new and selected poems does contain a good selection of the Santiago poems.
Another recent book which addresses similar territory is Christopher Howse's A Pilgrim in Spain while a recent movie is Emilio Estevez's The Way.
The British Museum's Treasures of Heaven certainly looks as though it will be worth a visit. Some interesting events have been organised by the curators and the associated book looks wonderful. There are some interesting books now available on the topic of relics - such as Holy Bones, Holy Dust - but Evelyn Waugh's Helena remains one of the most fascinating.
That's probably enough to be getting on with but I'm sure there are plenty more texts out there which would fit beautifully into this unit of work. Any thoughts?