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Although there are one or two things to do in Jodhpur, the one thing you must do is see the Fort. There is an audio guide which, although a bit tiring in places, is very interesting and informative. Take a leisurely stroll around the palace, which has some great architecture, some really interesting relics - wesapons, elephant seats etc. It costs around 250 RS to enter (including the audio tour and a camera)
There are also some great views of the city from here. The Brahmin houses look lovely painted in blue.
Around Jodhpur there is desert town call Osian is very famous for old age temples and the Thar desert; it a great place to visit if you want to escape for a desert camel safari in non-touristic route, and experience rural culture and wildlife.
A day excursion to Dechu and Khiyansaria ( 2 hours on the way to Jaisalmer ) is also worth going to . There are beautiful desert villages with stunning desert landscape .