The Petroglyphs of Gobustan are nearby to the South, and date back as far as the 12th century BCE. The invading armies of Alexander the Great and Trajan also left some interesting grafitti.
A ferry departs daily from Baku across the Caspian Sea to Turkmenbashi, Turkmenistan. This ferry has become somewhat of a sleeper hit with backpackers on the Silk Road, but is very uncomfortable and should only be taken by adventure-seekers.
A ferry depart irregularly to Aktau in Kazakhstan every 7-10 days maybe. Docks are located 2 km to the west of the old town. It is difficult to get tickets!
Shekiwhich is a 7 hour bus ride to the north, is a beautiful city in the Caucasus mountains with lots to see and do.
Buses take international travelers onwards from Baku to Iran and Georgia.
The Baku Airport is one of the few in the world offering flights to Nakhchivan and travelers heading that way should book a flight from here.
Go and enjoy the oil baths of Naftalan.
Relax by the Caspian in Nabran, Azerbaijan's biggest tourist destination for international travelers and a coastal city close to Xachmaz.