Cetinje, especially the historical center of the city, is small enough, and everything is within walking distance.
*Cetinje Monastery (map). The most famous Orthodox monastery in Montenegro. Re-built in 1785. Features several relics including the remains of Saint Peter of Cetinje, the right hand of John the baptist, the remains of Peter II Petrovic, and the crown of Steven Uros IV Dusan, midevil emperor of Serbia. National Museum of Montenegro (map). History section and art section.
Close to Cetinje (about 5 km / 3.1 mi) the Lipa cave (Lipska pecina, map) is situated, one of the biggest caves in the former Yugoslavia. Its entrance is located in the village of Lipa and it ends in the mountains directly over the Adriatic Sea.
You cannot find private rooms in Cetinje as easily as in other, more touristic, Montenegrin towns.