You get to Riohacha by bus from Santa Marta or by collectivo (shared taxi) from Valledupar. From Valledupar the price is about 20,000 COP for a 4 hours drive. From Santa Marta you pay probably a bit less than that.
Downtown Rioacha is very walkable. There's nothing much to see outside of the ten or so square blocks around the ocean. If you need to take some wheels, it's easy to hail a cab. Most fares in town run from 3,000 to 6,000 pesos.
Use Riohacha as a starting place for a short trek to the Cabo de la Vela.
A very good place to buy Wayu artesany, mochilas in particular.
There are a string of bars and small clubs along the ocean which serve Aguila on tap and a few imports.
There is a surprisingly wide variety of accommodation in Riohacha. The most expensive places tend to be located on the ocean, which a series of slightly dated mega-hotels. Rooms here can run up to 200,000 pesos in the high season. Expect discounts of up to 60% in the off season or for rooms that do not face the ocean.
On the cheaper end of the scales, rooms get be had for as little as 15,000 pesos at small bunkhouses and guest hostels further away from the ocean. Try just east of the bus station. Be warned that many of these places cater to internal refugees displaced from Colombia's long drug wars. You will probably be sharing with some (mostly friendly) long term guests. A cheap and convenient option is Hotel Moriah at Carrera 7, 14-37. Single room at 12,000 COP (Mar 2015).
Buses run to destinations up and down the Caribbean coast. Buses run every half-hour to Barranquilla and Cartagena. There are also frequent, but irregular services services to Uribia and Cabo de la Vela. The gathering point for the private cars, trucks and small buses that run this route is a roundabout several blocks south of the ocean. You can also call a private car that gets you in the door of your hostel and takes you to Uribia, for 15,000 COP pp.