I’m pretty sure that’s the Coliseum located in Rome. It’s absolutely amazing to visit.
Here is more detailed info
http://en.wikipedia.org/wiki/Colosseum
If you go to Rome, you can not miss it. If you go to Rome, the best advice I can give is to get a map and walk everywhere. Every cool thing I found and/or saw, was something I “stumbled” on while looking for something else. Of course I couldn’t walk by the end of my vacation, but it was so worth it.

Have fun!

It is in Rome. If you look at the top of this page you can actually see where in Rome it is (Celio). This is the most famous round arena of its type still standing, although there are a few others, including one in southern France and one in Verona (http://photo.net/italy/verona-downtown).

The Colosseo in Roma is right next to the Foro Romano (Roman Forum) and is bordered on the other sides by cool old Roman neighborhoods.