Dan Sai is really nothing more than a small town set in the scenic hills of rural Loei province. it has for a distinctive annual festival called Phi Ta Khon, the "ghost mask" festival. The event attracts people from all over Thailand, as well as a number of foreign tourists, and as a result the city has some infrastructure, although not much.
Other than the festival, Dan Sai is a rather pretty place and it would make a good to explore some of the many natural wonders of Loei province, if you're comfortable with the idea of a self-drive holiday.