Not so much a thing to do, as a thing you can't really avoid doing if you are "downtown". When I first came upon it, I thought it was totally incongruous and a throwback to British Imperial days - the English love a clocktower. This may be true, but a closer look at the design of the thing reveals a rather pleasing mix of the traditional Western tower adorned and decorated in the Oriental style. I actually quite like it architecturally.
It stands right in the middle of 26th Street, which is the "main drag" in Mandalay, near the Central Market (Zeigyo), hence the name. It is at the junction with 84th Street.