The other threads have covered the major activities. (You should also search for letiole's excellent trip report on LP, as well as Siem Reap and Bali.) The Buddha Cave is anticlimatic, but the journey is sublime. You can also hire a boatman to take you to the various villages that specialize in various crafts--textiles, paper lanterns, pottery. The wats are interesting, and chatting with the monks can be illuminating. Of course, the night market is a must; it's better to go early before the gloaming turns into darkness, making it difficult to scrutinize the merchandise.

For dining, I recommend all of the Yannick Upravan-Gilles Vautrin ventures: Café Ban Vat Sene (breakfast and hanging out), L'Éléphant (French-Lao fusion cuisine and one of my favorite spots in the world), and 3 Nagas (traditional Lao; be sure to order jaew bong). Tum Tum Cheng also serves up good traditional Lao and fusion dishes (order the kaipen appetizer). Late night, we often ended up at the Hive.

We stayed at Maison Souvannaphoum, which we liked very much. Great pool.