We actually got to the blue lagoon and cave by ATV, as part of a tour by VLT Natural Tours. The ride out there was very scenic...it would have been very enjoyable even if there had not been a cool, relaxing pool and cave to explore at the end of the ride!
The blue lagoon itself is fantastic. The water is truly blue and there are many fish in there (probably not the place to swim in for a fish hater!). However, if it has rained the night before you might wish to reschedule your trip to the lagoon, as it would not be blue but brown! This was a tip from our hotel owner. There are swings and things around the lagoon, and it is fun to jump into the cooling blue water. The water at the centre of the lagoon is deep, so you will not hurt yourself when jumping into it.
I have heard that modesty is important in Laos, even when swimming, so took care to respect that by wearing a cover-up when swimming. It is important for me to respect the local culture. Most tourists didn't use cover-ups though, so use your own discretion.
Tham Phu Kham cave is a long, steep climb up carved-out stairs. I estimate that we spent about 20 minutes climbing up. There are bamboo handrails for most of the way up, so that helps, although the climb was still quite difficult! Going down is much easier.
The cave itself is very dark, once you get past the entrance and the area with the Buddha. If you have not brought your own head torch, you are able to rent one before you enter the cave. This is necessary! The cave itself is not particularly easy to navigate without a guide, being very dark and slippery. If we hadn't had a guide, I wouldn't have dared to explore deeper into the cave, as it looked to be quite dangerous if you take a wrong step or a wrong turn. It was rewarding, however, venturing deeper with our guide! He showed up rock formations that looked like the Petronas Twin Towers in K.L., and other fanciful things. He also showed us that some stalactites make a bell-like sound when rapped, and we got to try it for ourselves! Our spelunking experience was much enhanced by having a guide along with us.
All in all, the blue lagoon and Tham Phu Kham cave are both very enjoyable, though I would advise that you go with a guide if you really want to explore the cave!