The Fort Payne Depot Museum occupies the former Alabama Great Southern Railroad Passenger Depot, built in 1891 during the town's boom years. The building itself is worth seeing — a Victorian-era station with decorative stonework that was considered rather grand for a small Alabama town. Inside, exhibits cover local history from the Cherokee era through the railroad boom, the sock-manufacturing industry that sustained the town for much of the 20th century, and the rise of the band Alabama.
The museum is run by local volunteers and is a good place to understand the context of the town before heading out to Little River Canyon or the other sites. Small but worthwhile; admission is inexpensive.