Almost everything to do in Vágur involves the cliffs. The walk west from the village across the moor to Vágseiði, then south along the cliff edge to Eggjarnar, is one of the best in the Faroes. Boat tours from Vágur harbour run along the southern coast to the great cliff of Beinisvørð and back; the boatman will time the trip for the seabird breeding season if you ask.
Inside the village itself there is the wooden church, the little museum, and the Botnur power station up the valley.