There's little in the way of tour sites in Pai (most people simply come to put their feet up), but it is a great place to stroll along country lanes or even rent a motorbike and buzz around the countryside. There are a few small temples: Wat Klang is next to the bus station and has several small pagodas surrounding a central stupa, and Wat Hodana and Wat Nam Hu are west of Route 1095 -- Nam Hu is known for its Chiang Saen-era Buddha, whose hollow head is filled with holy water. There's a waterfall about 7km(4 1/3 miles) west of town past the two wats, and a hot spring about 7km (4 1/3 miles) to the southeast, past the Pai High School.
Tiny Pai boasts quite a few traditional massage places. The best option is Mr. Jan's Herbal Sauna and Massage (no phone), where you'll get a Burmese-style massage. Ask around for directions to Mr. Jan's -- it's on the narrow Soi Wanchaloem, off Chaisongkhram Road.
