One of your first stops should be Killybegs Maritime and Heritage Visitor Centre. Here, you'll be able to orient yourself and get some great ideas before you set out exploring.
You're spoiled for sightseeing choice when in Killybegs. Killybegs Maritime and Heritage Visitor Centre is a great place to kick off here, but there are plenty of other worthy attractions to consider. Muckross Head, Maritime & Heritage Centre, and Deane's Farm Equestrian Centre are not far from the tourist information center and will fill in your day nicely.