From Diablo Wiki
The Burning Tower is the name given by the fans to the massive tower first seen in a piece of Barbarian concept art (here to the right).
It's a mysterious tower that at first glance just seemed to be a piece of random art. It's a tower, or at least some sort of cube-shaped castle, with what looks like steep stairways carved into the sides, up (or down?) which hundreds of people (cultists?) with torches are rushing.
It would be an ordinary fortification, if it wasn't turning up in several different images: Two Barbarian pictures arts and one Monk pic. Another piece of concept art might also show the same motif.
This mysterious building has not been mention in Diablo I, Diablo II, their manuals, or any Diablo novels, it's something completely new to Diablo III!
Read more about the mysterious building on the Burning Tower article.