The A-Ma Temple is probably the most historically significant sight in Macau, this being where Macau gets its name. The area was refered to as "the place of A-Ma" which in Cantonese sounds like "A-Ma gau", and this became butchered into "Macau".
I'll write more about it later, right now I am trying to get my pictures posted. But this should be one of your stops while you are here. It is close to the Maritime Museum, a famous Macanese candy store, and lots of great Portuguese restaurants.
I forget now where I read it, but some of the larger incense coil you will see here will burn for months. I think some you can see in Hong Kong will burn for over a year. I'll have to try and find where I read that.