Colonia has lots of little museums, each with its own unique history to tell. For instance, the Spanish Museum, the Portuguese Museum, and old homes, but my favorite was the Indigenous Museum, partly because the proprietor is the daughter of the researcher who put it together, and has lots of stories to tell.
Quick Tips:
See the lighthouse at night--it makes for a beautiful photo.
Best Way To Get Around:
Everything you want to see in Colonia is within easy walking distance, including the port for ferries to Buenos Aires and the bus terminal for transportation to Montevideo.
You will need to take a bus if visiting the Real de San Carlos--ruins of a failed entertainment complex from the turn of the century.