Instituto de Cultura del Estado de Durango, situated in a palace-like former porfirian hospital, with many good museums (entrance free)
Museo de Arquelogia Ganot-Peschard
Railway station with a beautifully restored steam engine in front of it
See the western filmsets in Chupaderos (bus from terminal, 10 Pesos) and in Villa del Oeste (Tue - Sun, 11-18h, 25 Pesos). Villa del Oeste is about 1km from Chupaderos. Walk back in direction Durango until you see the compound to your right.
Centro Deportivo Juvenil, Colegio Militar, near pedestrian bridge 0.5 km south of bus terminal. Basic accommodation in dorms, dorms 50 Pesos.