Vedbæk's main attraction is the Bøgebakken archaeological site — or rather the small display about it at the local cultural centre, since the actual Mesolithic cemetery is underground and invisible. The beach and marina are the other reason to stop here, particularly in summer.
The town works best as a stop on the Kystbanen coastal railway rather than a destination in itself. From Vedbæk station it is two stops north to Rungsted Kyst, where the Karen Blixen Museum (Rungstedlund) is set in the farm where the author lived most of her life. One stop south, Skodsborg has a long beach and the famous Skodsborg Spa Hotel, a late-19th century health resort still operating on its original Nordic wellness principles.