Depends what you want to see when you're down there really. Lulworth Cove and Kimmeridge Bay are nice. The Durlston Country Park is good and of course Corfe Castle (you can get a train from swanage). Further afield you have all the museums in Dorchester (but they're not cheap) and things like Monkey World and the Tank Museum. This is all the purbeck side of things and it is a bit of a drive to get anywhere.
You can get the chain ferry across to Poole harbour - so not too far away from that area.