Finally we went to Corinth, where there are a lot of ancient sanctuaries which were built in honor of their gods.

in 在这里表示"以...方式"或"处于...状态"。 honor 是名词，意思是"荣誉、尊敬"。 of 在这里表示所属关系，连接被尊敬的对象。 in honor of 是一个固定短语，意思是"为纪念/尊敬..."，表示做某事是为了向某人或某事物表示敬意。