So they could get advice from the god Apollo.
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The Greeks visited Delphi so they could get advise from the god Apollo.
The Greek god Apollo was the god that Delphi was dedicated to. Apollo killed a serpent Python there and the Greeks held the Pythian Games every four years to commemorate this.
The oracle of Delphi, i think
Possibly you are asking about Delphi in Greece, Delphi was the site of the Delphic oracle, most important oracle in the classical Greek world, an was situated on the south-western spur of Mount Parnassus in the valley of Phocis. Delphi was the site of the Delphic oracle, most important oracle in the classical Greek and it was a major site for the worship of the god Apollo. For more detailed information, go to: http://en.wikipedia.org/wiki/Delphi
They liked to consult an oracle to foretell the future or the outcome of an undertaking to them. There were several Oracles in Greece, but the Oracle of Delphi was the most famous.