The Heart of Wales is one of my closest lines, Knighton the closest station to me but a right royal pain to use thanks to poor bus links and poor choice of trains. Hence my very infrequent use of the HoW (so infrequent I can't actually remember when I last used it, maybe 2008?), which is a shame.
Knighton's an alright little town, but personally I wouldn't say that there was much to do at all here. The most interesting thing, to me at least, is that you can step off the train in England but once you leave the station you're in Wales.
Llandrindod, another town with little to do but you do have it better there now you've got things like Tesco in town now. Took long enough that's for sure! There's a nice park in town, around 20-25 minutes walk from the station I would imagine. The ticket office here, at least used to, has a collection of all manners of things railway related on display.
Dolau does indeed have a nice little station, but that is it. There's nothing around for miles and miles and miles. Random fact about it is that the Royal Train came here a few years back.
In all honesty, I can't think of much to stop off and visit really! I'm trying to think of stuff but I'm struggling. In my view, the Heart of Wales is best for a scenic journey but not really much to make a holiday off unless you enjoy walking. I suppose you could always get off at Sugar Loaf Halt and have a walk up to Sugar Loaf, from what I can remember of it from many years ago the views are quite stunning on a nice day.