The Mogao Grottoes house one of the most important collection of Buddhist art in the world. Photography inside the caves is prohibited, so you'll have to pilgrim to the site yourself to see its hidden treasures.
The rest of Dunhuang, where the grottoes are, is worth visiting as well. This city sprung up around an oasis at the edge of the Taklamakan Desert and was one of the first stops for travelers arriving along the China portion of the Silk Road from Central Asia.
From the spinning prayer wheels to the smell of incense, the Labrang Monastery never leaves a doubt about the sacredness the Tibetan monks hold for the place. You can arrange for a tour of the holy buildings, but photography isn't permitted.