Pensacola, Florida and Beautiful Pensacola Beach on the Gulf of Mexico. History was made here at Fort Pickens, now a State Park, where Geronimo, the Apache renegade was held prisoner. Pensacola Naval Air Station, "The Annapolis of the Air," the seat of U.S. Naval Aviation Training. Overlooking Pensacola's large natural Harbor, the new Municipal Auditorium, built entirely on man-made pier.