I only stayed in Dan Sai for one day, a random stop-off. Once I was settled in, I realised that it's a small village which impresses us with its peacefulness, you'll find life near the market (if you have seen a market in other areas of Thailand, you'll know what I'm talking about).
Dan Sai's reputation is mainly due to its annual festival called Phi Ta Khon (ghost festival). Unfortunately, I didn't visit during the time of the festival but by the photos I have seen and other travellers' comments, it seems that it's an incredible spectacle.
To conclude, apart from a few temples that aren't of much interest architecturally, and the fact that it serves as a base camp for exploring the impressive natural environment of the Thai province Loei, Dan Sai doesn't have much to offer.