The story is that the Spanish were holed up in the the beginning of the Mexican War of Independence in the Alhóndiga de Granaditas. It was easy for them to defend until Juan José de los Reyes Martínez Amaro, a miner from San Miguel de Allende (except it was San Miguel then) strapped a huge rock to his back for protection and set the door on fire. You can't see it from this angle, but in the statue he's holding a flaming torch. He's supposed to have painted the door with tar before lighting it.
Anyway, the door burned and the insurgents were able to take over. I'll write more about than later.
There's a lovely view of the city. We walked up and back down, since that's more interesting, but there's a funicular you can ride.