The octagonal building near Parliament Square was the Nassau Gaol (the old British spelling for jail), circa 1797. You're welcome to pop in and browse. The small prison cells are now lined with books. The museum has an interesting collection of historic prints and old colonial documents. Check out the exhibit of traditional basket weaving patterns (with names like Bahama Mama, Peas-'n'-grits and Linen Edge) on the second floor, and ask to see the dungeon (usually locked) under the library where you can see wall etchings of clipper ships created by prisoners.
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