The Fire Caves are caverns on Bajor in which the Pah-wraiths were imprisoned by the Prophets after their attempt to seize control of the Bajoran wormhole. The Bajorans were wary of them and some regarded them as being "haunted" and others as the entrance to hell. However, they were a popular attraction for non-Bajorans. (DS9 episode & novelization: What You Leave Behind)
Thirty-four thousand years before the 24th century, during the war involving the Perikian Republic, the Endtree, the Bajora and the Lerrit, the entrance to the Fire Caves collapsed. The city of Yvrig was destroyed in the disaster, of which survivors said was caused by a blue fire. Kira Nerys theorized this was the Prophets imprisoning the Pah-wraiths there. (DS9 short story: "Horn and Ivory")
Jake Sisko wanted to see them when he and Benjamin Sisko arrived on Deep Space 9 in 2369. He had the opportunity to visit them later that year with his father, but chose to help Nog study instead. (DS9 episode: "The Nagus")
After finding out how to do so with the Book of the Kosst Amojan, they travelled to the Fire Caves where Winn read from the Book, making the caves burst into flames.
Some time later, Winn poisoned Dukat, giving the Pah-Wraiths the sacrifice they needed to be freed. However, Dukat was the Pah-wraiths' Emissary who they had stopped from dying and restored him to his Cardassian self.
Benjamin Sisko later travelled to the Fire Caves where he confronted Dukat. Sisko's nemesis killed Kai Winn, who had attempted to destroy the Book. As Dukat was distracted, Sisko managed to throw himself and his enemy into the flames, destroying the Book and sealing Dukat away with the Pah-wraiths. (DS9 episode & novelization: What You Leave Behind)
The Federation Department of Interstellar Travel highly recommended a visit to the Fire Caves in its information on Bajor it included in the United Federation of Planets Passport. (ST reference: Federation Passport)