There are two trains that run from Havana: a very slow daytime train (every second day) that returns the following day, and a somewhat faster late-evening train (every second day) that operates via Matanzas and returns overnight. Trains may also leave for Santa Clara (very) early in the morning and return in the evening, and leave for Santa Clara and Sancti Spiritus in the afternoon, arriving in the morning. Check that the trains are running in advance.
Tomas Terry theatre. Victorian theatre in the main square in Cienfuegos, has nice cafe.
Freshwater fishing. Drive to the nearby secluded mountain lakes to fish for the plentiful bass.
Harbour boat trip. Take a boat trip round the harbour, stopping off at an island and chatting to the locals and enjoying a mojito.
Malecon. Walk along and hang out at the malecon (sea front) in the evenings.
Yacht Club. Quite touristy but pleasant to eat in the formal restaurant upstairs or the informal snack bar in the basement.
Benny More. A nightclub which features Salsa Music and dancing.
Palacio. Adjacent to the Hotel Jagua south of the Malecon, this is an amazing building, lavishly decorated in Moorish style. There is a fairly standard fare restaurant, but it is worth climbing to the rooftop bar for a drink sitting under an arched gazebo looking over the city and the harbour.
Hotel Faro Luna. Staying at the Faro Luna is like being at your own villa, only 25-30 rooms a beautiful pool overlooking the Caribbean and attentive staff.
Hotel Jagua. This is a large hotel to the south of the city, around 2km from the city centre. The building itself is a square concrete block and fairly unattractive. However, the rooms and facilities are pretty good by Cuban standards. For cheap water and drinks, visit the shop outside the hotel, opposite the entrance, rather than the hotel shop itself and pay half the price.