The highlight of this trip for both Luke and I was the tour we recieved at the WWII Cemetary. I highly recommend visiting here and asking a docent for the history, especially as it relates to the area. I'm not a WWII connoisseur by any means but it was facsinating! A definate must for anyone visiting Luxembourg! We also visited a German WWII Cemetary reminds us of the casualties that occured on both sides.
The Fortress of Luxembourg is also a must see. Even though it was mostly demolished (upwards of 90%) in the mid 1800s due to years of Europe-wide altercations to obtain dominion over this stronghold, it is still something to see. We didn't get a chance to take any of the tunnel tours (they're seasonal) but I hope to return and do so.
Luxembourg is not an inexpensive city, so bring lots of cash. We ordered a half dozen oysters on the half shell and forked over more than $20. They were delicious but a definate splurge. For a more economical meal, try Urban Bar in the pedestrian zone. The sandwiches are yummy and start around 11 euro - they also have some great local beers. So sit back, relax and enjoy your trip to Luxembourg!