The Jade Gate, or what remains of the frontier. You go because the drive is the historic landscape: gravel, a wall line, and a tower. If you need entertainment, stay at the dunes.
Historic, and sparse. The value is the frontier, not a museum gallery.
Tell the hotel where you went. A breakdown out there is a real inconvenience.
Getting there
A long drive west of Dunhuang. Half the day is the road. Start in the morning and carry water. There is no public-transit version worth building a plan on.
Staying nearby
Dunhuang town. There is no lodge at the pass you should count on. Return before dark.