I'm sure there are others more qualified to pipe up on sites in Dorset, but here goes!

Presuming you have transport (although most of these are pretty close together anyway - within about a 10 mile radius), the biggies as far as I'm concerned are:
<a href="http://www.themodernantiquarian.com/site/282">Kingston Russell</a> stone circle
<a href="http://www.themodernantiquarian.com/site/41">The Grey Mare & Her Colts</a> Long Barrow
<a href="http://www.themodernantiquarian.com/site/323">The Hellstone</a> dolmen
<a href="http://www.themodernantiquarian.com/site/47">The Nine Stones of Winterbourne Abbas</a> stone circle (and while you're there - <a href="http://www.themodernantiquarian.com/site/2612">The Broadstone</a> "standing" stone)
<a href="http://www.themodernantiquarian.com/site/1261">Hampton Down</a> stone circle
<a href="http://www.themodernantiquarian.com/site/35">Cerne Abbas</a> chalk hill figure

That's all the ones I've personally been to, but there's a fair whack of stuff about! I've not even mentioned The Poor Lot, The Valley of Stones, Mayne stone circle, the Dorset Cursus and the dozens of barrows scattered about... It's a good central place for all manner of Neolithic shennanigans!

Have fun!
G x

(I do hope all these links work after all that!)