Do you like curry? The BEST curry is in the Central Mosque restaurant - £3 for a HUGE plate. EXCELLENT curry. Just off Nicolson Street - very centrally located. For the best coffee in town, at £1, Cafe Aroma on Nicolson and Chambers.
Stuff to do? Well, the Castle is quite dear. £9 entry fee/person. It's great to see, but budget accordingly. The Palace of Holyrood House is £8/person.
Entry to the Parliament building across the street is free! You can do an audio tour for £3.
LOTS of free musuems in spitting distance of the train station: The National Gallery in Prince's Street, the royal museum in Chambers Street, the National Portrait in Queen Street, the Writer's Museum in High Street/The Royal Mile.
These cost about £7/each but WELL worth the fee: ANY ghost tour given by Mercat Tours. Incredibly knowledgeable guides.
For cheap, excellent music, either the Royal Oak Pub down Drummond Street off Nicolson, or Sandy Hill off Lauriston Place - live music nightly and really good traditional, folk.
Bring your walking shoes! Start up High Street at the Castle - even if you don't go in - and walk ALL the way down to Holyrood House. You'll find an amazing number of 'closes' off High Street, which then becomes Canongate once you pass The End of the World pub - makes for great, free entertainment. Not to be missed is 'Dom', an art gallery and also the oldest complete house still extant in Edinburgh.
Stop in for a pint in The End of the World Pub. This is where the old city gate was, hence, The End of the World.
Have fun!