In Vienna, I found the Lipazzaner Stallions a bit of a yawner, but Mass with the Vienna Boys Choir was wonderful. Best get tickets ahead of time, and they're often not there during the summer (on tour).

The Schatzkammer museum (imperial trasury) at the Hofburg was good, but they had the worst accoustiguide I've ever found (basically a contraption like a palm pilot, so it's visual...which doesn't make sense when you're trying to concentrate on the artifacts ). The Silberkammer museum (court silver and tableware) was surprisingly enjoyable.

In Prague, visit the old Jewish section even if you're not. The cemetary is quite a sight, as is the synagogue that's been converted to a memorial for the Holocaust (listing the names on all the walls, looking like a Torah scroll). I was there just before Madeleine Albright "discovered" her family roots; the NYTimes had a photo of her a week later coming out of this memorial.

And in Budapest definitely visit the Doheyny synagogue - it's spectacular, and was just renovated with something like $4 million of Tony Curtis' money (his forebears were Hungarian Jews). My tour visited three churches, the last of which was pretty dark and dank; I've always wondered why they didn't visit the synagogue instead (unfortunately, I can guess the reason: I'll bet too high a percentage of non-Jews would resist the idea).

As for cities, I stayed at Pension Wild in Vienna. Great location just outside the Ring, and fairly cheap (I think my single was about $60). But ask for one of the renovated rooms - much better than the older ones. (I realize most FlyerTalkers assume $200/night is cheap, but that's way over my budget!)