Chetnole is well worth a visit for the friendly and award winning Chetnole Inn. Real ales, good food and a child-friendly garden make this atmospheric pub a very tempting destination for a day out. They have three lovely bedrooms too, which would make a great base for exploring this part of Thomas Hardy's Wessex on foot (the bedrooms are even called Tess, Henchard and Hardy!).
See www.thechetnoleinn.co.uk or call 01935 872337 for opening times and more details.
The church of St. Peter's deserves a visit, too (look out for the gargoyles on the C15th tower) and there is a lovely green space behind this leading down to the River Wriggle if you have dogs or children that need to let off steam. There is an annual duck race and flower show.
To get to the village from the station (about 10-15 mins walk), go left at the top of the station steps and along the road (be careful of cars as the lane is quite narrow), turning left again at the T-junction. It is possible to cut that corner via a marked right of way over the field and lane.
Aternatively, use Chetnole Halt as the starting point for a lovely three mile walk into the surrounding countryside using this map guide.