Shanhaiguan has its own train-station. It's only a few minutes by train from Qinhuangdao train-station. A regular train from Beijing takes 4 hours. The express D train does it in just 2 hours, but book ahead. Shanhaiguan is on the line connecting Beijing and Tianjin to the south-west with the north-east via Jinzhou (2 hours) and Shenyang (5 hours).
At Shanhaiguan, the Great Wall juts out into the sea. This part of the wall is known as the "Old Dragon's Head". Bus 25 will take you to the entrance for ¥1. If you turn left before the entrance, that road will take you under the wall and to the beach. From there you can see where the wall reaches the ocean without paying entrance fees. At low tide it is possible, albeit illegal and dishonest of course, to walk around the end of the wall and enter the paid-area without a ticket. There is now a fence out into the sea and going around it is impossible.
Further inland, The pass of Shanhaiguan is to be found. The pass of Shanhaiguan is a square, with a perimeter of around 4 kilometers long. The walls reach the heigh of 14 meters, and are 7 meters thick. The pass's east, south and north side is surrounded by a moat of 8 feet deep and 17 feet wide. There are drawbridges to get over the moat, and in the middle of the pass stands a tall bell tower.
All four sides of Shanhaiguan had a gate: Zhendong (East), Yinun (West), Mangyang (South), and Weiyuan (North). Due to disrepair over the centuries, only Zhendong gate still remains today. Zhendong Gate is the most important gate in Shanhaiguan due to its position, which faces outside the pass. On the gate hangs the board, written on it "First Pass Under the Heaven."
Even further inland, there's a small park near another section of the wall. Here, the wall can be seen snaking it's way over the hills. It is possible to take a chairlift/cablecar to get a better view, or if you're feeling fit, you can walk up a steep section of the wall.
There's also a museum dedicated to the Great wall in the centre of Shanhaiguan.
Much of Shanhaiguan has been extensively restored in the 80s.
Currently much of the "old" town is being completely reconstructed. Quite a few entire city blocks are being remade into a faux-old Chinese city that, in fact, promises to be quite nice when construction is complete. Currently, though, the rebuilt city is largely uninhabited and quite like a ghost-town.
There is a nice restaurant in the centre where the wall is plastered with pictures of foreign customers who have visited the restaurant. The owner will even offer to take a picture of himself with you if you're lucky. At least one restaurant near the Dragon's Head has been known to overcharge.
Shanhaiguan has lots of hotels in all price categories, unfortunately, most of them are not allowed to take foreigners. If you are Chinese, you can get economy rooms (no bathroom) in the train station area for Y40-50, or regular rooms starting at about Y80.
There are two hotels that have permission to take foreigners. One is listed below, the other is a smaller and cheaper place just south of the old town (if anyone stays there, please fill in the details). To find it, ask around at the train station (e.g. other hotels, taxi drivers). Taking a taxi to either of the two hotels should cost Y5.