Ventanillas de Otuzco
Funerary niches
There are hundreds of small niches, which do resemble windows, though they are certainly not windows. They were an important part of the Cajamarca culture from about 200 BCE - 800 CE.
Curiously, these seem to have been a second burial site. Archeologists did not find complete skeletons and the skulls and bones that they did find were cleaned. It is theorized that people were first buried in the ground and after the body had decomposed, then they were laid to rest a second time in one of the niches.
Here is a very thorough article in English by Victor Miguel Ponce about Otuzco.
Practicalities
Only 20 minutes from the center of Cajamarca, you can visit on your own or with a guided tour. Taxis are available anywhere in town.