Booking your trekking or market tours is much cheaper when you do it in Sapa itself rather than arrange it through a travel agent. You also have the luxury of comparing the various packages from the different operators. We did our day trek with the Mountain View hotel and we would highly recommend it - good value and excellent english-speaking guides.
You'll also have the advantage to look at the weather before deciding what package to take up.
Favorite thing: The train station in Lao Cai is quite small. As such, it gets very crowded just before the train departs, especially if there is more than one train departing. We were scheduled to depart on the 9:15pm train, and there was another one departing 15 minutes earlier. As such, there was a massive crowd and long queue of people jostling to get through the gate. If you are on the later train and have reserved seats, you can afford to wait and let the crowd clear first before making your way to the train station.
Favorite thing: We checked out from our hotel early in the morning to visit the Sunday market of Bac Ha. The tour ended in Lao Cai around 3-4 pm (there was no point in making the 45 minute journey up to Sapa as we were departing on the night train). With 6 hours to kill & grubby from the day out, our guide was kind enough to ask around on the rates at the various guesthouses near the train station. We were told that all the guesthouses had similar rooms, so we settled on the cheapest one - 50,000 dong (US$3) to stay till our train departed. Can't remember the name of the guesthouse, but it was one of those around the square, just opposite the train station. We were a lot more comfortable for the long train journey ahead after washing up and resting.