Tucked inside this beautifully restored palazzo, which houses the Banca Intesa San Paolo, one of Italy's major banks, is a small museum that's worth seeking out. Enter the bank through Cosimo Fanzago's gargoyled doorway and take the handsome elevator to the upper floor. The first room to the left holds the star attraction, Caravaggio's last work, The Martyrdom of Saint Ursula. The saint here is, for dramatic effect, deprived of her usual retinue of a thousand followers. On the left, a face of pure spite, is the king of the Huns, who has just shot Ursula with an arrow after his proposal of marriage has been rejected. Opposite the painting is an elaborate map of the city of Caravaggio's day, not so different from now.