The Dieppe Raid Memorial tells the story of Operation Jubilee, the Allied raid of 19 August 1942 that ended in heavy losses on the town's beaches. It is a small, focused museum in the former Petit Theatre, with a film built around interviews and testimony from people connected to the raid.
Allow about an hour. The memorial is especially useful if you have already walked the seafront and want the military history explained in one place before visiting the Canadian cemetery outside town.