I would love to visit Rome, but I do not know what I would want to see first.
well, rome is a famous tourist destination because of its incalculable immensity of archaeological and art treasures
Is Rome where the Colosseum is?
Yes in fact it is, its also the capital of italy
Is Vatican City part of Rome, as well?
Yes Vatican city is a sovereign state located within the city of Rome.
I find their ancient history very fascinating.
The span of recorded history is roughly 5,000 years Rome being one of the most interesting ones in my opinion
I want to learn more about Rome now, maybe a documentary or tv series is out there for me. 
Well then it might interest you that Hispania was the given name by the romans to the Iberian Peninsula