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Grade I listed buildings and structures are of exceptional, even international importance. There are over 6,000 in the country. Only 2.5% of listed buildings are Grade I listed.
In Scotland the classification is Category A
Index: Link

Jesus Lane is a street in central Cambridge. The street links with the junction of Bridge Street and Sidney Street to the west. To the east is a roundabout known as Four Lamps which links with Maids' Causeway, Short Street and Victoria Avenue.

Jesus Lane is an ancient route that gave access to the Nunnery of St Mary and St Radegund, on which Jesus College, Cambridge is founded. Jesus College is located on the north side of the street, and gives the street its name. Sidney Sussex College is to the south of Jesus Lane on the western end, fronting onto Sidney Street. The Pitt Club, a University of Cambridge club, has premises at 7a Jesus Lane. The neoclassical building was originally designed as Victorian Roman Baths in 1863 by Sir Matthew Digby Wyatt. The baths were short-lived, open only between February and December 1863.

All Saints is a church on Jesus Lane, which was built by the architect G F Bodley. The church was constructed between 1863 and 1870 and, as a notable example of the Gothic Revival style and the Arts and Crafts Movement, is a Grade I listed building ( Link ). It is no longer a parish church, but has been under the care of the Churches Conservation Trust since 1981.
Wikipedia: Link

Market Square is in central Cambridge. Operating as a marketplace since Saxon times, a daily outdoor market with stalls continues to run there.
The market square commands a central location in Cambridge. It is connected via the following streets (clockwise from the north):
Rose Crescent (pedestrianised), north towards Trinity Street
Market Street. east towards Sidney Street
Petty Cury (pedestrianised), east towards the junction of Sidney Street and St Andrew's Street
Guildhall Street, south towards Guildhall Place and Wheeler Street
Peas Hill (partially pedestrianised), south towards Wheeler Street and Bene't Street
St Mary's Passage (pedestrianised), west towards King's Parade
St Mary's Street, west also towards King's Parade.