One of the best kept secrets for traveling from Mongolia to China is taking the bus. Now, granted, if you are not a local, traveling with a local, or are unskilled in filling out customs forms in Mongolian, you may not want to choose this path. However, if you are an adventurer I'd say,"Go for it."
To take the bus, buy a ticket from UB to Ulaan Uud. At Ulaan Uud exit the station and walk over to the buses and figure out which one is going to Beijing. It helps to know what the characters for "Beijing" are. My fare cost 90 yuan. This was a HUGE discount compared to taking the train all the way. Once you are on the bus find a bed towards the rear and settle in. Make sure you take the sleeper bus or you will be sorry later on.
Now, let me lay something out....I am a 5'9" Asian American...the "beds" were not made for legs like mine. The bus ride was 13 hours long and by the time we got off the bus I was hurtin'.
All along the way we would make pit stops to go to the bathroom. Everyone would pour out of the bus, in the middle of the desert, and find a place to squat. The women tied shirts around their waists for a little privacy. Going to the bathroom was like using a litter box. At one point we stopped at a little roadside diner and I had the opportunity to buy some food and use the bathroom, or rather the cement building with a hole in the ground. Being a westerner I have very little experience using the "squatty potties" and my skills for peeing into a little hole in the ground are minimal, therefore I ended up spraying myself on the leg and had to role up my pant legs for the remaining 9 hours of the trip.
At the border I ran into a little trouble...not many, if any foreigners use the bus to go from Mongolia to China and I was stopped for questioning and a bag search. This delay angered all the bus people and I received dirty looks the remainder of the trip. Later on I found out that they other passengers were pressuring the driver to leave be at the border. That would have been very bad.
Once we crossed the border, the bus stopped at a hotel/restaurant to get some real food....it was very yummy. The city was called Erlian a little Outer Mongolian border town. The prices here were very cheap, I recommend going to the indoor market.
We arrived in Beijing at 3 am with absolutely no idea of where I was at. I finally hailed a cab and I managed to muddle out some broken Mandarin and made it to the guesthouse. Uuugh...I was exhausted! It was honestly the worst bus ride of my life, frankly, it was hell. But that is not to say I do not recommend it, especially if you are looking for an adventure.
I will remember this ride for the rest of my life. Even into my old age and the onset of Alzheimers I will still remember this bus ride.