One of your first stops should be Biloxi Visitors Center. Here, you'll be able to orient yourself and pick up some great ideas before you start exploring.
If you love hearing the word "free" as much as most do, you'll be glad to know this tourist information center is exactly that. Biloxi Visitors Center is located in Biloxi. If you want to keep your itinerary full while you're around these parts, also stop by Biloxi Lighthouse, Beauvoir and Beau Rivage Casino.