The Haji Ali Dargah has been a Mumbai landmark forever. Well, wikipedia says 1431, but that's close enough for me. This picture is the view of the Dargah from our family's apartment.
The mosque/dargah (tomb) was built where the body of a Muslim holy man was found after his death. Twenty years ago, the walkway would be completely covered by high tide, but now they've built the walkway up so you can visit without tracking the ocean .
If the novelty of visiting a shrine in the middle of a bay wears off, notice that the crowd is far from exclusively Muslim. In India, people often pay their respects or worship at holy sites of any religion.
Close to the entrance of the walkway, you will find the famed Haji Ali juice stand, infamous from the book Shataram and apparently, according to the author, a hot bed for criminal activity in the 1990s.