Ozstamps,

I chose to go to Baku for a similar reason as you ... was using BA miles to go from North American to Europe ... and Baku was considered part of Europe, as were the 'Stans (until the July 1, 2003 changes).

I stayed in the Old City Inn and liked it. I was only in Baku for three full days but there were a bunch of interesting sites:

In Baku proper:
- In the old city, the Palace of the Shirvans-Shahs, the Maiden Tower, the walled city
- Elsewhere, the oil wells offshore, weird soviet architecture buildings, a carpet museum, maybe a history museum, a monument to people killed by the soviets near the end of the USSR

Outside of Baku
- Near Gobustan, an hour or so away, a bunch of ancient petroglyphs on rocks.
- Near Gobustan: some weird geologic formations -- mud volcanos caused by methane coming out of the ground propelling up mud, pools of water with methane bubbling out.
- The Temple of Fire, built where methane coming out of the ground was permanently on fire. It attracted people from as far away as India
- On the Abseron Peninsula, a series of castles/fortresses, a mosque, another location with flames coming out of the ground (both places with fire coming out of the ground now require human intervention, as commercial mineral extraction means they don't come out of the ground any more like that)

I was able to get into the business class lounge at the airport with a J ticket on BA. I don't recall if there are airlines where elite status would get you in.

There is some interesting shopping - at a place across the street from the Maiden Tower, I got some carpets, various soviet items (including a small bust of Lenin), other handicrafts. Caviar is quite cheap, if you're into that.

There are a broad variety of restaurants, even a McDonalds.

I found (probably on flyertalk, don't remember where) a good travel agent for that part of the world: the MIR Corporation, based in Seattle.

Have fun.