Sri Bhavani Museum has 500 miniature paintings of all major schools – Jaipur, Kangra, Mughal, Punjab, Bijapur, Pahadi and Maratha of the 15th to 19th century. It was built by the Raja of Aundh in 1938 and exhibits the work of Bhawanrao. It also has the famous stone structure of 'Mother and Child' by Henry Moore. It also has a section dedicated to western paintings. So if you're a history buff, or have always been curious, this one's a must-visit museum.
P.S: Make sure you don't get too carried away and get your cameras out. The authorities levy a fine on photography.