Walk out to the dam and find the Roman intake tower standing in the water

Work out how a dam of this age is still functioning, and what kept it in repair

Walk the dehesa trails and count raptors — black vulture and imperial eagle both breed in the park

Look for black stork, which is the rarer of the two storks and nests in this kind of country

Work out why both Roman dams are part of the Mérida World Heritage listing rather than separate sites

Cornalvo is the other Roman dam serving Mérida, east of the city, and unlike Proserpina it sits inside a natural park of dehesa, scrub and Mediterranean woodland with almost nobody in it. The dam has an intake tower standing out in the water. The park is a Special Protection Area for birds, and the combination of open dehesa, water and thick cover supports black vulture, Spanish imperial eagle, black stork and a very long list of others. Both dams are inside the Mérida World Heritage listing of 1993.

Cornalvo: A Roman Dam in a Natural Park

See the Roman Theatre, built in 16–15 BC under Agrippa for about 6,000 spectators, and its 63m stage front; the International Festival of Classical Theatre has been held there since 1933

Cross the Roman bridge over the Guadiana, nearly 800m long

Visit the National Museum of Roman Art, where the theatre's original sculptures are kept

Walk out to the Acueducto de los Milagros, which carried water into Emerita Augusta

Mérida was Augusta Emerita, founded in 25 BC for veterans of Augustus's legions, and it became the capital of Lusitania — which is why a town of sixty thousand in Extremadura has the best Roman remains in Spain. The theatre was built in 16–15 BC under Agrippa for about six thousand people, and it has been used for a classical theatre festival every summer since 1933. The Roman bridge over the Guadiana is nearly eight hundred metres long. The Vía de la Plata, the old road north, runs right through it.

Mérida: The Theatre of Agrippa and the Bridge Over the Guadiana

Stand on a Roman dam wall that has been holding water for two thousand years and work out why it survived

Work out the answer: it was never abandoned, so it was never allowed to fail

Swim in the reservoir, which is what people here have done for a very long time

Find the Los Milagros aqueduct in Mérida and work out how the water got from here to there

Five kilometres north of Mérida is a dam that has been holding water since the 1st century BC. Proserpina impounds the Las Pardillas stream across seventy-two hectares, holds around four cubic hectometres, and one hypothesis is that it supplied Augusta Emerita through the Los Milagros aqueduct. It has survived because it never stopped being used — for irrigation and for swimming, so people kept repairing it. Cornalvo, the other Roman dam east of the city, is the same story. Both are part of the Mérida World Heritage listing of 1993.

Proserpina: A Roman Dam Still Holding Water

Bathe at the Alange spa, where the Romans built a bathhouse with separate facilities for men and women

Walk up to Alange's medieval castle above the Matachel river

Look out over the Alange reservoir, dammed on the Matachel in 1992

The Romans built a bathhouse at Alange with separate facilities for men and women, and it is still there and still in use — you bathe in a Roman building in Roman water, which almost nowhere in Europe lets you do. The spa, 18 kilometres from Mérida, is part of the UNESCO archaeological ensemble of Mérida. Above it stands a medieval castle of Roman origins on the hill over the Matachel, and below the town a concrete dam of 1992 holds the river back as the Alange reservoir.

Alange: Bathing in a Roman Bathhouse

Walk among the bolos — granite weathered over millions of years into free-standing rounded blocks

Go into the Museo Vostell Malpartida in the old wool-washing works on the waterside

Find out what Fluxus was, and what a German video-art pioneer was doing in Extremadura in 1976

Watch the white storks nesting on top of the granite bolos — one of the most important rock-nesting colonies in Europe, which got Malpartida named European village of the storks in 1997

Work out the sequence: the museum brought the attention, and the attention brought the protection in 1996

Los Barruecos is a field of granite that has been weathering for millions of years into huge rounded boulders — bolos, with names like the Mushroom and the Treasure Rocks — sitting around a set of pools fourteen kilometres from Cáceres. In 1976 Wolf Vostell, a German artist of the Fluxus movement and a pioneer of installation and video art who had settled in Extremadura, put his museum in the old wool-washing works on the edge of the water. The publicity that generated is largely why the place was made a natural monument in February 1996.

Los Barruecos: Granite Boulders and a Fluxus Museum

Order Torta del Casar, the Extremaduran sheep's milk cheese made with cardoon rennet, protected since 1999 and matured for at least 60 days; slice the top off and scoop out the creamy centre

Try Iberian ham, one of Extremadura's best-known products, in Cáceres' old town

Walk the UNESCO-listed old town, on the list since 1986, through the 18th-century Arco de la Estrella and past the 12th-century Torre de Bujaco

Visit Casar de Cáceres, the town that gives the cheese its name

Torta del Casar is made with cardoon rennet rather than animal rennet, which breaks the curd down differently and leaves the inside of the cheese almost liquid — so it is served by cutting the top off the disc like a lid and scooping the middle out with bread. It has been protected since 1999 and must mature at least sixty days. Around it Extremadura produces the other thing it is known for: acorn-fed Iberian ham from pigs run in the dehesa oak pasture, which is the best ham in the world and priced accordingly.

Cáceres: Torta del Casar and the Walled Old Town

Stand in the Plaza Mayor and work out that the palaces around you were paid for with American silver

Find the equestrian statue of Francisco Pizarro and read what is said about him on the plinth and what is not

Find out who Francisco de Orellana was, what happened on 12 February 1542, and how he died four years later

Climb to the castle, an Arab alcázar before it was a Christian one, for the view over the plain

Go into Santa María la Mayor, the 13th-century church in the upper town, and find the tombs of the families who financed the expeditions

Francisco Pizarro, who took Peru, was born in Trujillo. So was Francisco de Orellana, born here in 1511, who came down the Amazon in 1542 and died on it in 1546. A great many other men left this small, poor town on the Extremaduran plain for the Indies, and the ones who came back rich built the palaces that now line the Plaza Mayor — which is why a town of a few thousand people has a square of that scale. Pizarro's equestrian statue stands in the middle of it. Above the town is the castle, originally an Arab alcázar.

Trujillo: The Town That Conquered Peru

Get a ticket — since 2013 attendance has been capped at 22,000 and you cannot simply turn up

Watch the palo jabón, because the battle does not start until somebody gets the ham down

Be in the Plaza del Pueblo when the lorry beds tip and the whole load goes into the street

Work out the numbers: about 150 tonnes of tomatoes, six lorries, one hour

Stay for the hosing down afterwards and work out how the town is clean again by the afternoon

On the last Wednesday of August, during Buñol's patronal week, six lorries move slowly through the Calle San Luis, the Calle Cid and the Plaza del Pueblo distributing close to 150 tonnes of tomatoes, and 22,000 people — the cap since 2013 — throw them at each other for an hour. It starts when somebody manages to get the ham off the greased pole and the rocket goes up, usually around noon. The best moment is when the lorry beds tip and the whole load goes into the street. Then the fire brigade hoses everything down and the town is clean by mid-afternoon.

La Tomatina: A Hundred and Fifty Tonnes of Tomatoes

Go into the Alcázar of 1437, now a parador, and find where the fortress becomes a Habsburg palace

Walk the Plaza Grande and the Plaza Chica, the two connected arcaded squares that give the town its nickname

Work out what the lordship of Feria was and how its counts became dukes and grandees in 1567

Come for the International Livestock Fair at the turn of September and October

Go into the collegiate church of La Candelaria and find the Zurbaráns

Lorenzo II Suárez de Figueroa made Zafra the centre of the lordship of Feria, and in 1437 built the Alcázar as his residence; in the 16th and 17th centuries it was converted into a palace to suit Habsburg taste and a new collegiate church was finished. The fifth count of Feria was made a duke and grandee of Spain in 1567 for his services to Philip II's statecraft. The town is called Sevilla la Chica for its two connected arcaded squares, and its International Livestock Fair at the turn of September and October still draws tens of thousands.