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. Last year this cost 10 Pounds.
Shaftesbury's most notable site to see is Gold Hill, which is famous from Hovis Bread advertisements.
There are many charming B&B's in and around Shaftesbury.