Datia's main draw is a single, extraordinary building — the Bir Singh Deo Palace — and the pilgrimage temple of Pitambara Peeth. Between them, they account for almost all visitor time in the city. The palace is an architectural landmark; the temple is one of the most important Tantric shrines in India. Both can be visited in a single day, which is how most travellers use Datia — as a half-day detour from Gwalior or Jhansi.
The old town surrounding the palace has a market and a slower pace than either of those larger cities. If you have a few hours before the Gwalior train, it is worth wandering rather than rushing back.