Forget what you've heard about Milan. Venice and Rome may overshadow it when weighed in general art and beauty, but they don't have the Pinacoteca di Brera. Score one for Milan.
Arguably the most recognizable collection of Italian masterpieces to be found anywhere, this art museum, centered in the Brera neighborhood and a handful of blocks east of Sempione Park, should be a must on your cultural agenda. With works by Raphael, Caravaggio, Rembrandt, Hayez, and many more in a moderately sized and attractive space (check out the central courtyard), the 10 Euro (about $13.50 USD) is a small price to pay.
For more information, take a look at the Milan tourism site.