Galloway Forest is a Dark Sky Park so great for stargazing, and they even say you can see the Northern Lights if you're lucky (I haven't yet).
Wigtown is fine for an hour mooching round the second-hand bookshops, and I recommend ReadingLasses for a light lunch and delicious homemade cakes, but there's not much else in the town. Although there's an interesting coastal walk past the site of the Wigtown Martyrs, two women tied to a stake and left to drown in the incoming tide. Their graves and a bit about the history of the Covenanters can be seen in the local churchyard. There's also Bladnoch distillery nearby which does tours.
Gatehouse of Fleet is a lovely little town, and Castle Douglas and Kirkcudbright also have nice independent shops and small art galleries. We went on a guided walk round Kirkcudbright with a very amusing eccentric woman recently. Threave Castle near Castle Douglas is fun, mainly because you have to ring a bell for a boatman to collect you and row you across the river. It's temporarily closed for repairs - not sure when it's due to reopen. There was an ospreys nest there last time we went - you could walk to the hide and watch them through binoculars .. fantastic.
I agree with the PP who recommended Gather as a great place to eat with stunning views.
If you want some ideas for walks, pocket mountains does a great little book with clear explanations. Not that there are any mountains .. Criffel near Dumfries is the biggest you'll come across, but it makes for a nice walk, or there are lovely coastal walks near Rockcliffe and Kippford.
D&G is lovely, however one advantage of the Borders over Dumfries and Galloway is that you can easily get to Edinburgh if you get bad weather. There's not a huge amount to do in D&G in the pouring rain!