Described by most passing business folks and oil people as utterly depressing, add the whole 'end of the road' situation, and your equation should end up along the lines of a town you would only visit while on business. If you insist, try to get here before the snow melts, it adds a certain charm to the place.
Okha Museum of Regional Studies
The town's feeble attempt at a museum with ethnographic and archaeological exhibitions related to the indigenous tribes of the area, and some photographs and "art" about the Russian explorations of this remote region.
Nekrasovska
This small village, 28 km northwest of Okha, is home to the largest remaining community of the indigenous Nivkhi tribe. Take a marshrutka if you can find one, or find a cab driver, which while no easy feat either should be slightly easier.