Mogao Caves - Ignore those expensive tours and taxis. Visiting the Mogao Grottoes can be done easily on your own. Click here for the details: How buy tickets and get to Mogao Grottoes by Bus
Mingsha Shan (Echo Sand Mountain) and Crescent Moon Lake - Once again the expensive tours and taxis can be skipped because there is a bus that goes frequently to the site for 2 CNY. Here are the details: How to get to Mingsha Shan / Echo Sand Mountain and Crescent Moon Lake by Bus
Food Street / Shazhou Night Market - Dunhuang has a huge Food Street and Night Market right in the center of the city. It is hard to miss it. There are some parts open during the day and most stalls are open at night.