Built to commemorate the world's biggest cheddar - the Mammoth Cheese - which was built in 1892 and was shipped by train to the 1893 Chicago World's Fair. It weighed 22,000 lbs and was also "immortalized" in some really bad poetry by James McIntryre which can be read at: http://www.geocities.com/Athens/3964/mcintyre.html
Histories of the Mammoth Cheese can be found at The Story of the Mammoth Cheese and The Mammoth Cheese
Information Source: W. Hugh Chatfield, Natalie Williams and here and there
Picture Source: June Flegg