Azerbaijan (Things to do - Places to Visit) - AZERBAIJAN Top Tourist Placesbr Azerbaijan, the nation and former Soviet republic, is bounded by the Caspian Sea and the Caucasus Mountains, which span Asia and Europe. br br Its capital, Baku, is famed for its medieval walled Inner City. Within the Inner City lies the Palace of the Shirvanshahs, a royal retreat dating to the 15th century, and the centuries-old stone Maiden Tower, which dominates the city skyline.