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Browse the shops for opals. If you don't know your opals, stick with a guide who knows, as you could wind up with cheap low-quality stones.
Visit the opal museum in the centre of town. Learn about opals and some mining history.
Visit an opal mine and underground home. There are a number of organised tours you can take.
Go fossicking for opals. Best to do this in a designated opal field.
If you have the time and wish to do it, travel with the mail truck on a 600-kilometre round trip from Coober Pedy to Oodnadatta and William Creek for a different traveling experience.