Valladolid is a Spanish colonial town, founded on a Mayan capital. All the energy focuses around the plaza, or Parque Principal. There is a central fountain, merchants selling their wares (including excellent authentic Mayan embroidery), cute little two-seater chairs called condifenciales (love seats), among charming shops and churches. All of this belies a fairly violent history of overthrowing governments and desertion - reading about it before you get to Valladolid, you will be surprised at how quaint it is now.
The plaza has a few excellent sites to see - including the Cathedral of San Servacio (tall and white), the Museo de San Roque (a local museum), the market (both along the 4 streets of the plaza, but a better one a few blocks away at Calles 32 and 37 - prices and selection are better). Not to be missed is the San Bernardino Sisal (Calle 41, two blocks west of the plaza),a beautiful old monastary. It is the oldest church in the Yucutan. The church has a very old feel.
Also worth seeing is the Cenote Dzitnup, a fresh water sink hole you can swim and dive in, near the center of town! It's about 5 k outside of town on the road to Merida. The water was pretty grungy when we were there, though several locals were swimming. Attached is a pretty grimy little zoo, which is not very nice, nor worth seeing. Along side the entrance were many many women and kids selling overpriced wares. I have to admit there are better cenotes elsewhere, but if this is your only chance to see one, it's worth the time.