In the nearby town of Guadalupe, now almost a suburb of Zacatecas, is a large Franciscan convent and evangelical college founded by a famous member of the evangelical college of Querétaro, Fray Antonio Margil de Jesús. It remains an active monastery, but a part of the convent houses a wonderful museum of colonial art, which will impress anyone interested in art and painting of any kind. Some people might skip this one because they suppose colonial art to be staid, scholastic, and full of arcane symbolism. Not true. The paintings, mostly from the 1700s, are by some of the greatest painters of New Spain (colonial Mexico) -- Cabrera, Villalpando, Correa, and others. They are detailed, expressive, dramatic, and eye-catching for their use of anachronisms and fantastical themes.
I usually take a taxi (about 50 pesos) and, to save money and chat with locals, grab a city bus for the return. The convent's church has a lovely facade and holds the famous 19th-century Capilla de Nápoles, a chapel with lots of gilding and decoration. You cannot enter, but you can see it from the ground floor of the church or from the organ loft, which is accessible from the museum.