Bhairav or Kaal Bhairav is an important deity of Hindus, Jains and Buddhists. It is a fierce attribute of Shiva associated with destruction. As per Shiva Purana, Brahma arrogantly asks Vishnu to worship him as he is the supreme creator. This angers Shiva and he thereby severs Brahma’s fifth head. Thereafter Brahma had only four heads. So Shiva in the form of Kaal Bhairav is depicted as carrying Brahma’s fifth head. To ward off his sin of Brahmahathya dosha (killing a Brahman), Shiva wanders as a sanyasi (seer) carrying Brahma’s skull as a begging bowl for 12 years. Kaal Bhairav also guards the Shakti peethas and most of the Dwadasha linga temples have the deity Kaal bhairav. 
Kaal Bhairav is worshipped by Kapalikas and Aghori sects of Shaivism and has Dog (shvana) as his vahana or vehicle. His consort is Bhairavi, an attribute of Kali. Kaal Bhairav is adorned with serpents as anklets, yajnopavitha (sacred thread), bracelet and ear rings. He wears tiger skin and has human skulls as ritual apron. The great guru Adi Shankaracharya has written Bhairavaashtakam on Kaal Bhairav. 
Kaal Bhairav is considered as the guru of planet Shani (Saturn). In Tamilnadu he is considered as the grama devatha or guardian of village, who protects them from all the eight directions. 

Kaal Bhairav has eight attributes called Ashta bhairav: 

1. Ruru Bhairav
2. Chanda Bhairav
3. Krodha Bhairav
4. Unmatha Bhairav
5. Kapala Bhairav.
6. Bheeshana Bhairav
7. Samhara Bhairav.
8. Asitanga Bhairav.

Kaal Bhairav temple in Ujjain was built by King Bhadrasen, on the banks of river Shipra, mentioned in the Avanti khanda of Skanda Purana. Since it was mainly worshipped by Aghori and Kapalika sects, the traditional practice of offering liquor to Kaal Bhairav is still continued here. To the right of Kaal Bhairav temple is Ekamukh Dattatreya shrine. 
Paatal Bhairav temple is located to the left of Kaal Bhairav shrine. It is believed that King Vikramaditya got betal siddi here. The temple is very inconspicuous and likely to miss unless we make specific inquiry. There is a small opening smaller than a window and one has to crawl to enter the cave temple. 
Viraat Bhairav temple which is on the bank of river Shipra is about a kilometer away from Kaal Bhairav. One has to pass through the cremation ground to reach this temple. 
Kaal Bhairav temple is situated about 10 kms away from Ujjain town. Ujjain is well connected by train. Nearest airport is Indore, which is about 60 kms from Ujjain. 
There are plenty of lodges in Ujjain town. Auto Rickshaws can be used for local transport, which are reasonably cheaper.