The Banks of Danube hold one of the most beautiful memorial sights we have seen in Budapest. It honors the Jews who were killed by fascist Arrow Cross militiamen in Budapest during World War II.
They were ordered to take off their shoes, and were shot at the edge of
the water so that their bodies fell into the river and were carried
away. It represents their shoes left behind on the bank. Look, contemplate, photograph.

Ferrania Solaris 200

House of Terror, located at Andrassy street is a well developed memorial for crimes of both Nazi and Communist parties during World War II. It's situated in the walls of a huge building which was the headquarters of both aforementioned organizations. In the cellar the killings were executed. Touching piece of history, a must see. I would recommend getting an audio-guide in English, because we did not, and unfortunately most of the exhibition was in Hungarian.
Liberty Square.