Dunhuang is the base for visiting Magao Caves which have Buddhist paintings dating back to 700 AD. There are other sites in the area including remnants of the Great Wall, Fortress guarding the Silk Road into (and out of) China.
You need a driver--I used Mr. Fu Youjie (13830706887), CNY 450 for all day driving. Polite, competent, helpful. The City museum is OK but much better is the Gansu Province museum in Lanzhou. Pleasant looking downtown with the usual shopping malls, restaurants, hotels but with easier traffic than most other China cities