After leaving Rio, my friend and I took a short flight to Belo Horizonte, the capital of the neighboring state of Minas Gerais. From there, we spent a few days touring the colonial mining towns of Minas, the hub of which is Ouro Preto.
Ouro Preto, which translates to "Black Gold", was known as the wealthiest city in Brazil at the time that the country was colonized by the Portuguese. The oldest gold mine in Brazil is just a short bus ride from the center of the city and is a must-see for anyone who is willing to venture to this area. For a small entrance fee (R$8/person), you can take a rickety mining cart deep into the mine and walk to a subterranean pool (see pics attached to this review). It's quite a site to behold.
Also, I would recommend renting a driver at the tourist office for a few hours (we partnered up with another pair of travellers to make it cheap) to take you to the waterfalls at Lavras Novas. There you can do some hiking and take in some great natural sites, and even go for a dip in the waterfalls.
The city itself contains some beautiful Baroque churches, with extremely ornate interior gold work by famed local legend Aleijaidinho in the 17th century. You can walk to all of the churches if you get a hostel or hotel in the city, and if you only get to see one make sure it's Saint Francis of Assisi, which is the most ornate of the local churches.
Ouro Preto is also the best place to buy Brazilian jewelry. You will see H. Stern shops all over the country that sell Imperial topaz, which is mined only in Brazil, but their prices will all be higher than what you can pay in Ouro Preto, where the proximity of the mines keep the prices low. Also, the jewelers are all on the same road, so a smart shopper can do a good bit of haggling to drive the prices further down. Make sure you buy from a reputed dealer, and ask to see a Certificate of Authenticity (Certificao do Autenticidade) for anything you are considering purchasing.
Finally, before leaving definitely check out the outdoor soapstone market in the corner of the city. Here you will find many vendors hawking their very intricately handcrafted soapstone goods, from chess boards to vases to furniture. The prices are dirt-cheap and the work would easily sell for 10-100x the price if you were to buy it in a handcrafts store abroad.
There are two main cafe/bars in town where the locals and tourists hang out in at night. Both offer a divey, young atmosphere. If you enjoy cachaca (sugar-cane liqueur) or caipirinhas (the Brazilian national drink made from the same), definitely go to the Cachaca bar, where you can sample from about 100 brands of cachaca and take in some live music.