Vienna and Budapest were once the two capitals of the Austro-Hungarian Empire, at times the largest power in Europe (and arguably in the world). Many artifacts in both cities are still indicators of that history and the connection between the two cities. As a result of World War I, the Austro-Hungarian Empire was split into many pieces, two one of them being modern day Austria and one modern day Hungary, with Vienna and Budapest as their respective capitals.
As a result of World War II, Hungary became part of the Sovjet empire and disappeared behind the Iron Curtain. However, even in the drab times of communist rule in Eastern Europe, Hungary was considered the "different kid", since its population enjoyed a few more freedoms than the rest of eastern europeans countries. Hungary was always *the* fun place to visit in the Eastern Block (since travel outside the Eastern Block was prohibited).