There are some interesting historical facts about Valladolid. The most interesting is that it was briefly the capital of the kingdom of Castile. And in fact was the capital, when King Ferdinand and Queen Isabella married (and they married there). They reigned from Valladolid as well, making it the first capital of Spain. When Christopher Columbus returned from his voyages to the new world, it was in Valladolid that he bought a house and lived until his death. His home is now a museum.
In 1561, most of the city was destroyed by fire, which is why some architectural wonders you might want to see are not there. Since the old capital was destroyed by fire, Philip II decided to move the capital to Madrid. But some aspects of what you might see in Madrid are patterned after Valladolid (for example the Plaza Mayor).
The capital moved back to Valladolid in 1601, under King Philip III. It didn't last long. There was a flood of the Pisuerga and Esgueva rivers in 1606. The flood again destroyed a large portion of the town, and convinced the king to move back to Madrid.
Another interesting person to have lived in Valladolid is the famous Spanish author, Cervantes. His most well known work is Don Quixote. The only house he ever owned that still survives today is found in Valladolid, and is of course a museum.