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Henges are the large stone circles and are used to travel to other henges and key sanctuaries. There are currently 4 henges. Henges must be discovered (clicked on once) before you may travel to them from another henge or key sanctuary.
Key sanctuaries are new from update 27 and must also be discovered like normal henges. They appear as (and also act as) ordinary sanctuaries.
There are currently 4 key sanctuaries.