The best way to get to Shaftesbury, if you don't have a car, is by train. Take Southwest Trains from London Waterloo to Gillingham, Dorset. There are friendly and cheap taxi drivers who can take you on to Shaftesbury. In 2008 the trip cost £10.
Shaftesbury's most notable site to see is Gold Hill, which is famous from Hovis Bread advertisements.
There are many charming B&Bs in and around Shaftesbury.