I go there regularly. There's now a fast train from Beijing which I haven't tried yet, but the countryside is fascinating. Capital of Liaoniong province, which is greatly under-rated in my opinion. Great shopping, restaurants (especially seafood and Mongolian hotpot), not much nightlife unless you have friends to take you, easy to get around, taxis cheap and metered, huge water caves and the largest jade Buddha in the world nearby (relatively, given the size of China). I wouldn't choose Shenyang for a holiday though - Dalian is about 4 hours away by train, on the coast, and much nicer air and weather.
You can take a bus to from either city to Dandong on the Yuli River and the border with N Korea (PDRK). It's helpful to have some basic Chinese.