I think most foreigners in Dandong visit because of it's close proximity to North Korea. Well, technically, you are in NK if you walk to the end of the bridge!!!
The bridge is a piece of history (which was bombed by the Americans in the Korean War) and really shouldn't be missed when in Dandong. It costs 27RMB which we felt was a reasonable price. It is well maintained.
It is also really interesting to see the differences between the coastline of China and NK. Especially at night when walking on the river, you see very few lights on the NK side while the Chinese side is beautifully lit up.