Which has a higher lattice energy CaO or NaCl?
Lattice enthalpy of an ionic solid is the minimum thermal energy required to completely convert one mole of that ionic solid to isolated gaseous ions. Here "isolated ions" in the sense that the distance between the separated ions is sufficient to reduce the electrostatic interaction between them to zero practically. 

It is also the energy released for the reverse process of  settling of isolated  ions into the solid lattice.

Greater the charge densities of ions higher the electrostatic interaction and so higher the lattice energy by magnitude. A smaller anion/cation with more charges will have higher charge density. Here calcium ion (114pm)is  not only smaller than sodium ion(116pm) but also having twice the charge as that of sodium ion. 
Similarly oxide ion(126pm) is much smaller than chloride ion(167pm). Former is doubly charged where as latter has only single charge. For both these reasons CaO has a much high lattice enthalpy (3414kJ/mol) compared that of NaCl (787kJ/mol)